Browse

You are looking at 1 - 2 of 2 items :

  • Sub-Saharan Africa x
Clear All
Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated

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

Volume/Issue: 2007/141

Series: IMF Working Papers

Author(s): Pär Österholm , and Erik Hjalmarsson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2007

DOI: http://dx.doi.org/10.5089/9781451867053.001

ISBN: 9781451867053

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...

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

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

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

Volume/Issue: 2007/141

Series: IMF Working Papers

Author(s): Pär Österholm , and Erik Hjalmarsson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2007

ISBN: 9781451867053

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...