Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated

Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated
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 an erroneous conclusion regarding the cointegrating... READ MORE...

Publication date: June 2007
ISBN 9781451867053
$18.00

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