Repository Testing for cointegration using the Johansen approach
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چکیده
منابع مشابه
A Bootstrap Test of Cointegration Rank
This paper suggests a bootstrap testing procedure for determining the rank of cointegrated systems. The properties of the new testing procedure are investigated using Monte Carlo techniques. The performance of the test compares favourably to that of the widely used procedures for determining cointegration rank proposed by Johansen (1988). JEL classi cation: C12; C15; C32.
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