Testing for cointegration using the Johansen methodology when variables are near-integrated /
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| Author / Creator: | Hjalmarsson, Erik, author. |
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| Imprint: | [Washington, D.C.] : International Monetary Fund, Western Hemisphere Division, 2007. |
| Description: | 1 online resource (19 pages) : illustrations |
| Language: | English |
| Series: | IMF working paper ; WP/07/141 IMF working paper ; WP/07/141. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12497912 |
| Summary: | 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. |
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| Physical Description: | 1 online resource (19 pages) : illustrations |
| Format: | Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. |
| Bibliography: | Includes bibliographical references (pages 17-19). |
| ISBN: | 1283515326 9781283515320 |