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Testing for cointegration using the Johansen methodology when variables are near-integrated : size distortions and partial remedies

Hjalmarsson, Erik; Österholm, Pär - In: Empirical economics : a journal of the Institute for … 39 (2010) 1, pp. 51-76

Persistent link: https://www.econbiz.de/10003992868

Testing for cointegration using the Johansen methodology when variables are near-integrated

Hjalmarsson, Erik; Österholm, Pär - 2007

"We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace tests for cointegration under …

Persistent link: https://www.econbiz.de/10003522338

Testing for Cointegration Using the Johansen Methodology When Variables Are Near-Integrated

Österholm, Pär - 2007

We investigate the properties of Johansen''s (1988, 1991) maximum eigenvalue and trace tests for cointegration under …

Persistent link: https://www.econbiz.de/10014401263

Some cautions on the use of nonlinear panel unit root tests : evidence from a modified series-specific non-linear panel unit-root test

Lau, Chi Keung; Suvankulov, Farrukh; Su, Yongyang; … - In: Economic modelling 29 (2012) 3, pp. 810-816

Persistent link: https://www.econbiz.de/10009545513

Testing for unit roots with cointegrated data

Reed, W. Robert - 2015

This paper demonstrates that unit root tests can suffer from inflated Type I error rates when data are cointegrated. Results from Monte Carlo simulations show that three commonly used unit root tests - the ADF, Phillips-Perron, and DF-GLS tests - frequently overreject the true null of a unit...

Persistent link: https://www.econbiz.de/10011309691