Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated /
We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace tests for cointegration under the empirically relevant situation of near-integrated variables. Using Monte Carlo techniques, we show that in a system with near-integrated variables, the probability of reaching...
| मुख्य लेखक: | |
|---|---|
| अन्य लेखक: | |
| स्वरूप: | पत्रिका |
| भाषा: | English |
| प्रकाशित: |
Washington, D.C. :
International Monetary Fund,
2007.
|
| श्रृंखला: | IMF Working Papers; Working Paper ;
No. 2007/141 |
| विषय: | |
| ऑनलाइन पहुंच: | Full text available on IMF |