Open AccessTesting for Cointegration Using the Johansen Methodology when Variables are Near-Integrated
Author(s) -
Erik Hjalmarsson,
Pär Österholm
Publication year - 2007
Publication title -
international finance discussion papers
Language(s) - English
Resource type - Journals
eISSN - 2767-4509
pISSN - 1073-2500
DOI - 10.17016/ifdp.2007.915
Subject(s) - cointegration , spurious relationship , econometrics , monte carlo method , rank (graph theory) , series (stratigraphy) , trace (psycholinguistics) , mathematics , eigenvalues and eigenvectors , statistics , johansen test , error correction model , physics , paleontology , linguistics , philosophy , combinatorics , quantum mechanics , biology