Essays about: "Johansen’s test"

Showing result 1 - 5 of 6 essays containing the words Johansen’s test.

1. 1. The impact of macroeconomic factors on the performance of European REIT markets: An empirical analysis of macroeconomic influences on the British, French and Belgian REIT indexes from 2007-2017

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Huanyu Xiao; Katrina Novojenko; [2018]
   Keywords : real estate investment trust REIT ; macroeconomic variables; developed markets; Europe; industrial production;

   Abstract : The concept of real estate investment trust has been first introduced in the US market in 1960. However, it has not been until the last decade that we have seen the increased adoption of the concept around the world. READ MORE

3. 2. Interlinked Roundwood Markets in Sweden, Norway and Finland : An econometric study of roundwood assortment prices

   University essay from Luleå tekniska universitet/Institutionen för ekonomi, teknik och samhälle

   Author : Victoria Eriksson; [2018]
   Keywords : Interlinked markets; market integration; co-integration; roundwood; Johansen s test; Granger causality;

   Abstract : Market integration is a frequently discussed topic. This study presents an econometric analysis of the interlinkages between the Swedish, Norwegian, and Finnish coniferous roundwood assortment markets by conducting the Johansen’s co-integration test. It also investigates the directional causality between markets concluded integrated. READ MORE

4. 3. Exploring the Relationship Between HousingPrices and Stock Prices

   University essay from KTH/Industriell ekonomi och organisation (Inst.)

   Author : JOSEF AGUZ; OSSIAN MARKIEWICZ; [2018]
   Keywords : Housing Prices; Stock Prices; Cointegration; Credit Effect; Wealth Effect;

   Abstract : This study investigates the long- and short-run relationship between stock- and housingprices in Finland, Denmark, Norway and Sweden between 1987-2017 and 1995-2017 with data from OECD statistics. By using interest rate as a control variable and Johansen's Test for Cointegration, the results show a significant relationship for Finland during the period 1995-2017. READ MORE

5. 4. Testing for Cointegration in Multivariate Time Series : An evaluation of the Johansens trace test and three different bootstrap tests when testing for cointegration

   University essay from Örebro universitet/Handelshögskolan vid Örebro Universitet

   Author : Jonas Englund; [2013]
   Keywords : Johansen trace test; wild bootstrap; cointegration; heteroscedasticity; simulation;

   Abstract : 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 robust in presence of heteroscedasticity, and tests based on resampling methods have been proposed to solve the problem. READ MORE

6. 5. Experimental study on mechanical joints with nail type fasteners

   University essay from Lunds universitet/Avdelningen för Konstruktionsteknik

   Author : Alexandros Asimakidis; [2012]
   Keywords : nail pattern; Johansen s yield theory; experimental tests; ductile failure; plug shear failure; nail type fasteners; timber joints; steel to timber connections; Technology and Engineering;

   Abstract : When timber is used as a building material a connection is required between the elements in order to transfer the load. A typical connection is the steel to timber joint with nail as connectors. READ MORE