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- W2092275256 abstract "Using Monte Carlo methods together with the bootstrap critical values, we have studied the properties of two tests (Trace and Lmax), derived by Johansen (1988) for testing for cointegration in VAR systems. Regarding the size of the tests, the results show that both of the test methods perform satisfactorily when there are mixed stationary and nonstationary components in the model. The analyses of the power functions indicate that both of the test methods can effectively detect the presence of cointegration vector(s). Finally, when considering the size and power properties, we could not find any noticeable differences between the two test methods." @default.
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- W2092275256 date "2001-03-01" @default.
- W2092275256 modified "2023-10-10" @default.
- W2092275256 title "Booststrapped johansen tests for cointegration relationships: a graphical analysis" @default.
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- W2092275256 doi "https://doi.org/10.1080/00949650108812075" @default.
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