Testing for cointegration using the Johansen methodology when variables are near-integrated
Erik Hjalmarsson and Pär Österholm
| Year of publication: |
2007
|
|---|---|
| Authors: | Hjalmarsson, Erik ; Österholm, Pär |
| Publisher: |
Washington, DC : Board of Governors of the Federal Reserve System |
| Subject: | Spurious rejection | Johansen maximum eigenvalue | Kointegration | Cointegration | Einheitswurzeltest | Unit root test | Monte-Carlo-Simulation | Monte Carlo simulation |
| Extent: | Online-Ressource (18 S.) graph. Darst. |
|---|---|
| Series: | International finance discussion papers. - Washington, DC : [Verlag nicht ermittelbar], ISSN 2767-4509, ZDB-ID 2572734-5. - Vol. 915 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | "June 2007 Includes bibliographical references Systemvoraussetzungen: Acrobat Reader Electronic reproduction; Available via World Wide Web |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003997748