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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

Asymptotically UMP panel unit root tests : the effect of heterogeneity in the alternatives

Becheri, I. Gaia; Drost, Feike C.; Akker, Roman van den - In: Econometric theory 31 (2015) 3, pp. 539-559

Persistent link: https://www.econbiz.de/10011341911

Asymptotically UMP panel unit root tests

Becheri, I. Gaia; Drost, Feike C.; Akker, Ramon van den - 2013

Persistent link: https://www.econbiz.de/10009731541

Limiting experiments for panel-data and jump-diffusion models

Gaia Becheri, Irene - 2012

-diffusion models and we compare, by means of the limiting experiment, the statistical information contained in continuous … the hidden process is highly persistent and, using the limiting experiment, we discuss some inference procedures. Chapter …