Umfang:
Online-Ressource (19 p)
Ausgabe:
Online-Ausg.
ISBN:
1451867050
,
9781451867053
Serie:
IMF Working Papers Working Paper No. 07/141
Inhalt:
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 rank of the system is generally substantially higher than the nominal size. The risk of concluding that completely unrelated series are cointegrated is therefore non-negligible. The spurious rejection rate can be reduced by performing additional tests of restrictions on the cointegrating vector(s), although it is still substantially larger than the nominal size
Weitere Ausg.:
Erscheint auch als Druck-Ausgabe Österholm, Pär Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated Washington, D.C. : International Monetary Fund, 2007 ISBN 9781451867053
Sprache:
Englisch
DOI:
10.5089/9781451867053.001
