Buy this book
![Loading indicator](/images/ajax-loader-bar.gif)
"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 an erroneous conclusion regarding the cointegrating rank of the system is generally substantially higher than the nominal size. The risk of concluding that completely unrelated series are cointegrated is therefore non-negligible. The spurious rejection rate can be reduced by performing additional tests of restrictions on the cointegrating vector(s), although it is still substantially larger than the nominal size"--Federal Reserve Board web site.
Buy this book
![Loading indicator](/images/ajax-loader-bar.gif)
Showing 4 featured editions. View all 4 editions?
Edition | Availability |
---|---|
1
Testing for Cointegration Using the Johansen Methodology When Variables Are Near-Integrated
2007, International Monetary Fund
in English
1451911580 9781451911589
|
zzzz
Libraries near you:
WorldCat
|
2
Testing for Cointegration Using the Johansen Methodology When Variables Are Near-Integrated
2007, International Monetary Fund
in English
1451867050 9781451867053
|
zzzz
Libraries near you:
WorldCat
|
3
Testing for Cointegration Using the Johansen Methodology When Variables Are Near-Integrated
2007, International Monetary Fund
in English
1452764247 9781452764245
|
zzzz
Libraries near you:
WorldCat
|
4
Testing for cointegration using the Johansen methodology when variables are near-integrated
2007, Federal Reserve Board
Electronic resource
in English
|
aaaa
|
Book Details
Edition Notes
Title from PDF file as viewed on 1/24/2008.
Includes bibliographical references.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.
Classifications
The Physical Object
ID Numbers
Community Reviews (0)
Feedback?History
- Created October 15, 2008
- 5 revisions
Wikipedia citation
×CloseCopy and paste this code into your Wikipedia page. Need help?
December 19, 2020 | Edited by MARC Bot | import existing book |
July 29, 2012 | Edited by VacuumBot | Updated format '[electronic resource] /' to 'Electronic resource' |
December 15, 2009 | Edited by WorkBot | link works |
October 28, 2008 | Edited by ImportBot | Found a matching Library of Congress MARC record |
October 15, 2008 | Created by ImportBot | Imported from Library of Congress MARC record |