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"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.
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1
Testing for Cointegration Using the Johansen Methodology When Variables Are Near-Integrated
2007, International Monetary Fund
in English
1451911580 9781451911589
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2
Testing for cointegration using the Johansen methodology when variables are near-integrated
2007, Federal Reserve Board
Electronic resource
in English
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3
Testing for Cointegration Using the Johansen Methodology When Variables Are Near-Integrated
2007, International Monetary Fund
in English
1452764247 9781452764245
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Testing for Cointegration Using the Johansen Methodology When Variables Are Near-Integrated
2007, International Monetary Fund
in English
1451867050 9781451867053
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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.
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December 11, 2009 | Created by WorkBot | add works page |