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

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

multivariate tests is largely unknown. This paper investigates the impact of the initial condition on tests for cointegration rank …

The likelihood ratio test of cointegration rank is the most widely used test for cointegration. Many studies have shown … series. It is found that the asymptotic test tends to overestimate the cointegration rank, while the bootstrap and FDB tests … choose the correct cointegration rank. …

-) cointegration ranks is identical to the asymptotic distribution of the much applied test statistic based on the Two-Step procedure …

employing the Kalman filter. The time-varying cointegration parameters suggest that the security measures indeed impacted price …

There are a number of econometrics tools to deal with the different types of situations in which cointegration can …

aim is to estimate the characteristics of the Finnish pork and beef markets inrelation to those of Germany and Denmark …. Our analysis uses symmetric and asymmetric thresholderror correction models. Both pork and beef prices in Finland are … found to have slowly cointegratedwith German prices, but the cointegration relationship of the two counties is only found to …

tests are conducted by means of the Johansen multivariate cointegration method and the error correction model. Among the ERM …