This paper presents Monte Carlo simulations for the Johansen cointegration test which indicate that the critical values applied in a number of econometrics software packages are inappropriate. This is ...

This is a preview. Log in through your library . Abstract We examine the ability of the Johansen (1991) test to estimate the number of unit roots in high dimensional systems. We use data based Monte ...

We propose an intuitive and simple-to-use procedure for estimating the cointegration rank of a high-dimensional time series system with possible breaks. Based on a similar idea to a principal ...

Theoretically, it is believed that FDI is a principal factor supporting and accelerating economic enhancement of an economy over the years. FDI boosts the productivity of host countries and promotes ...

This is a preview. Log in through your library . Abstract Applying the Johansen cointegration test, this study finds that energy consumption, economic growth, capital and labor are cointegrated.

In this paper we analyze bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen et al. (2006, "Econometric Theory" 22, 15-68) and ...

The American Economist, Vol. 41, No. 1 (Spring, 1997), pp. 53-58 (6 pages) This paper examines the relationship between wage growth and inflation in the United States. It has been hypothesized that an ...

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