Series: IMF Working Papers
Author(s): Pär Österholm , and Erik Hjalmarsson
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 June 2007
Keywords: cointegration, inflation, nominal interest rate, equation, nominal interest rates, Near-unit-roots, Spurious Rejection, Monte Carlo Simulations,
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...