Testing for Cointegration in Multivariate Time Series : An evaluation of the Johansens trace test and three different bootstrap tests when testing for cointegration
In this paper we examine, by Monte Carlo simulation, size and power of the Johansens trace test when the error covariance matrix is nonstationary, and we also investigate the properties of three different bootstrap cointegration tests. Earlier studies indicate that the Johansen trace test is not rob...
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| Format: | Others |
| Language: | English |
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Örebro universitet, Handelshögskolan vid Örebro Universitet
2013
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-30067 |