Testing for cointegration using the Johansen methodology when variables are near-integrated : size distortions and partial remedies
Year of publication: |
2010
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Authors: | Hjalmarsson, Erik ; Österholm, Pär |
Published in: |
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria. - Berlin : Springer, ISSN 0377-7332, ZDB-ID 519394-1. - Vol. 39.2010, 1, p. 51-76
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Subject: | Kointegration | Cointegration | Einheitswurzeltest | Unit root test | Monte-Carlo-Simulation | Monte Carlo simulation | Experiment |
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