This paper studies the effects of increasing the frequency of observation and the data span on the Johansen cointegration tests. The ability of the tests to detect cointegration depends more on the total sample length than the number of observations. (C) 2000 Elsevier Science S.A. All rights reserved
The Johansen procedure for testing and estimating cointegration models is analysed from a practition...
The Johansen procedure for testing and estimating cointegration models is analysed from a practition...
Sample size of data, presence of structural break, location and magnitude of potential break, and ha...
Este artículo estudia los efectos de aumentar la frecuencia de observación y el intervalo de datos e...
Este artículo estudia los efectos de aumentar la frecuencia de observación y el intervalo de datos e...
28 p.Johansen's cointegration test has a number of obvious advantages over the simpler Engle-Granger...
28 p.Johansen's cointegration test has a number of obvious advantages over the simpler Engle-Granger...
We evaluate by Monte Carlo simulation the empirical sizes of Johansen's likelihood ratio tests for t...
Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2019.We study the effect of increasing th...
When dealing with time series that are integrated of order one, the concept of cointegration becomes...
In this paper, two tests for structural hypotheses on cointegration vectors are evaluated in a Monte...
Results of the Johansen Test that was used to examine cointegration in the time series data1.</p
Although both the Johansen (1991, 1994) trace test and Bierens (1997a,b) nonparametric lambda−min te...
We investigate the properties of Johansen''s (1988, 1991) maximum eigenvalue and trace tests for coi...
When dealing with time series that are integrated of order one, the concept of cointegration becomes...
The Johansen procedure for testing and estimating cointegration models is analysed from a practition...
The Johansen procedure for testing and estimating cointegration models is analysed from a practition...
Sample size of data, presence of structural break, location and magnitude of potential break, and ha...
Este artículo estudia los efectos de aumentar la frecuencia de observación y el intervalo de datos e...
Este artículo estudia los efectos de aumentar la frecuencia de observación y el intervalo de datos e...
28 p.Johansen's cointegration test has a number of obvious advantages over the simpler Engle-Granger...
28 p.Johansen's cointegration test has a number of obvious advantages over the simpler Engle-Granger...
We evaluate by Monte Carlo simulation the empirical sizes of Johansen's likelihood ratio tests for t...
Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2019.We study the effect of increasing th...
When dealing with time series that are integrated of order one, the concept of cointegration becomes...
In this paper, two tests for structural hypotheses on cointegration vectors are evaluated in a Monte...
Results of the Johansen Test that was used to examine cointegration in the time series data1.</p
Although both the Johansen (1991, 1994) trace test and Bierens (1997a,b) nonparametric lambda−min te...
We investigate the properties of Johansen''s (1988, 1991) maximum eigenvalue and trace tests for coi...
When dealing with time series that are integrated of order one, the concept of cointegration becomes...
The Johansen procedure for testing and estimating cointegration models is analysed from a practition...
The Johansen procedure for testing and estimating cointegration models is analysed from a practition...
Sample size of data, presence of structural break, location and magnitude of potential break, and ha...
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