Advanced search

Found 1 essay matching the above criteria.

1. 1. 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