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Bootstrapped Johansen Tests for Cointegrating Relationships: A Graphical analysis
Lund University.
Göteborg University. (Statistik / LNUC)ORCID iD: 0000-0002-3416-5896
2001 (English)In: Journal of Statistical Computation and Simulation, ISSN 0094-9655, E-ISSN 1563-5163, Vol. 68, no 4, 351-371 p.Article in journal (Refereed) Published
Abstract [en]

Using Monte Carlo methods together with the bootstrap critical values, we have studied the properties of two tests (Trace and Lmax), derived by Johansen (1988) for testing for cointegration in VAR systems. Regarding the size of the tests, the results show that both of the test methods perform satisfactorily when there are mixed stationary and nonstationary components in the model. The analyses of the power functions indicate that both of the test methods can effectively detect the presence of cointegration vector(s). Finally, when considering the size and power properties, we could not find any noticeable differences between the two test methods.

Place, publisher, year, edition, pages
Taylor & Francis, 2001. Vol. 68, no 4, 351-371 p.
National Category
Probability Theory and Statistics
Research subject
Statistics/Econometrics
Identifiers
URN: urn:nbn:se:lnu:diva-23189DOI: 10.1080/00949650108812075OAI: oai:DiVA.org:lnu-23189DiVA: diva2:580506
Available from: 2012-12-22 Created: 2012-12-22 Last updated: 2016-12-14Bibliographically approved

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Mantalos, PanagiotisShukur, Ghazi
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CiteExportLink to record
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Citation style
  • apa
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