MARC Record from Library of Congress

LEADER: 01979nam a22003017a 4500
001 2007702797
003 DLC
005 20080124112433.0
007 cr |||||||||||
008 080124s2007 dcu sb f000 0 eng
010 $a 2007702797
040 $aDLC$cDLC
050 00 $aHG3879
100 1 $aHjalmarsson, Erik.
245 10 $aTesting for cointegration using the Johansen methodology when variables are near-integrated$h[electronic resource] /$cErik Hjalmarsson and Pär Österholm.
260 $aWashington, D.C. :$bFederal Reserve Board,$c[2007]
490 1 $aInternational finance discussion papers ;$vno. 915
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 1/24/2008.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"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.
653 $aOintegration;$anear-unit-roots;$aspurious rejection;$amonte carlo simulations
700 1 $aÖsterholm, Pär.
710 2 $aBoard of Governors of the Federal Reserve System (U.S.)
830 0 $aInternational finance discussion papers (Online) ;$vno. 915.
856 40 $uhttp://www.federalreserve.gov/pubs/ifdp/2007/915/default.htm