Anderson, Richard G. (contributor); … - 2006
testing of
cointegration ranks based on Johansen’s (1995) ML-based method suffers
from severe small sample size distortions … cointegration
rank in VECM models.
Keywords: panel cointegration, bootstrap tests, canonical correlation
JEL Codes: C13, C14 …, the
cointegration rank) among a set of economic, financial or social variables is most-often
based on maximum likelihood …