Finding cointegration rank in high dimensional systems using the Johansen test : an illustration using data based Monte Carlo simulations
Year of publication: |
1996
|
---|---|
Authors: | Ho, Mun S. |
Other Persons: | Sørensen, Bent E. (contributor) |
Published in: |
The review of economics and statistics. - Cambridge, Mass. : MIT Press, ISSN 0034-6535, ZDB-ID 207962-8. - Vol. 78.1996, 4, p. 726-732
|
Subject: | Zeitreihenanalyse | Time series analysis | Simulation | Statistische Methodenlehre | Statistical theory | Theorie | Theory |
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