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Title: Performance of Johansen's cointegration test
Authors: Poh Chee Wee
Keywords: DRNTU::Business
Issue Date: 1997
Abstract: Johansen's cointegration test has a number of obvious advantages over the simpler Engle-Granger test. As the Johansen test is designed for a multivariate system, it has the potential of becoming the benchmark for uncovering cointegration. However, uncertainty revolves around its finite sample properties, which is an important issue to the applied economist. Thus, the objective of this paper is to assess the relative power and size performance of the test. The trace test was chosen as the target for our analysis.
Description: 28 p.
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

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