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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 the empirically relevant situation of near-integrated variables. Using Monte Carlo techniques, we show that in a system with near-integrated variables, the probability of reaching...

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

Mean reversion in Swedish macroeconomic time series : evidence using a new panel data approach

Österholm, Pär - In: European review of economics and finance 3 (2004) 4, pp. 23-36

Persistent link: https://www.econbiz.de/10002401456

Killing four unit root birds in the US economy with three panel unit root test stones

Österholm, Pär - In: Applied economics letters 11 (2004) 4, pp. 213-216

Persistent link: https://www.econbiz.de/10002001477

Revisiting the uncertain unit root in GDP and CPI : testing for non-linear trend reversion

Beechey, Meredith; Österholm, Pär - In: Economics letters 100 (2008) 2, pp. 221-223

Persistent link: https://www.econbiz.de/10003768223

Does unemployment hysteresis equal employment hysteresis?

Gustavsson, Magnus (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003351901

Does unemployment hysteresis equal employment hysteresis?

Gustavsson, Magnus; Österholm, Pär - In: The economic record : er 83 (2007), pp. 159-173

Persistent link: https://www.econbiz.de/10003481434

The informational value of unemployment statistics : a note on the time series properties of participation rates

Gustavsson, Magnus; Österholm, Pär - In: Economics letters 92 (2006) 3, pp. 428-433

Persistent link: https://www.econbiz.de/10003373559

The presence of unemployment hysteresis in the OECD : what can we learn from out-of-sample forecasts?

Gustavsson, Magnus; Österholm, Pär - In: Empirical economics : a journal of the Institute for … 38 (2010) 3, pp. 779-792

Persistent link: https://www.econbiz.de/10003951660

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

A residual-based cointegration test for near unit root variables

Hjalmarsson, Erik; Österholm, Pär - 2007

Persistent link: https://www.econbiz.de/10003997612

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