the Conformity test (CCT) for the existence and rank of cointegration, as given in Johansen (J) (1988), (1991), and the … CCT has very good power characteristics in detecting the rank of cointegration, but it exhibits some size distortions that …

Bootstrap likelihood ratio tests of cointegration rank are commonly used because they tend to have rejection … estimation of the power function of the bootstrap test of cointegration rank. The bootstrap test is found to have a power … cointegration rank zero, or underestimate the cointegration rank. An empirical application to Euribor interest rates is provided as …

This paper addresses the question of whether a conventional approach to cointegration is applicaple to the case where … test statistic for cointegration rank is based on reduced rank regression and has the usual asymptotic distribution. An …

Equations Model and the Johansen test for cointegration in a Vector Autoregressive model. The similar structure of the two …