Performance of Johansen's cointegration test
28 p.
| Main Author: | |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Published: |
2014
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| Online Access: | http://hdl.handle.net/10356/57909 |
| _version_ | 1811683546024116224 |
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| author | Poh Chee Wee |
| author2 | Tan Gee Kwang, Randolph |
| author_facet | Tan Gee Kwang, Randolph Poh Chee Wee |
| author_sort | Poh Chee Wee |
| collection | NTU |
| description | 28 p. |
| first_indexed | 2024-10-01T04:14:27Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/57909 |
| institution | Nanyang Technological University |
| last_indexed | 2024-10-01T04:14:27Z |
| publishDate | 2014 |
| record_format | dspace |
| spelling | ntu-10356/579092023-05-19T06:24:06Z Performance of Johansen's cointegration test Poh Chee Wee Tan Gee Kwang, Randolph Nanyang Business School DRNTU::Business 28 p. 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. BUSINESS 2014-04-07T11:06:54Z 2014-04-07T11:06:54Z 1997 1997 Final Year Project (FYP) http://hdl.handle.net/10356/57909 Nanyang Technological University application/pdf |
| spellingShingle | DRNTU::Business Poh Chee Wee Performance of Johansen's cointegration test |
| title | Performance of Johansen's cointegration test |
| title_full | Performance of Johansen's cointegration test |
| title_fullStr | Performance of Johansen's cointegration test |
| title_full_unstemmed | Performance of Johansen's cointegration test |
| title_short | Performance of Johansen's cointegration test |
| title_sort | performance of johansen s cointegration test |
| topic | DRNTU::Business |
| url | http://hdl.handle.net/10356/57909 |
| work_keys_str_mv | AT pohcheewee performanceofjohansenscointegrationtest |