The Johansen Cointegration test (Trace)
Keywords: Baltic stock markets, unit root, Engle-Granger approach, Johansen cointegration test, causality, impulse response, variance decomposition.
... the cointegration analysis has been ...the cointegration test the investigating time series have firstly been tested for the presence of a unit root and the following three unit root tests (ADF, PP, ...
50
A Johansen Cointegration Test for the Relationship between Remittances and Economic Growth of Japan
... Keywords: remittance, GDP growth rate, Johansen Cointegration Test, short run, long run, developed countries, granger causality test 1. Introduction There are a number of benefits of ...
15
Further evidence on the size and power of the Bierens and Johansen cointegration procedures
... systems cointegration tests, Hubrich, Lütkepohl, and Saikkonen (2001) conclude from Monte Carlo methods that the Johansen and the Bierens tests both have good size properties, and that the Johansen ...
13
Stationarity and cointegration tests: Comparison of Engle Granger and Johansen methodologies
... The cointegration results of eqs (22), (23) and (24) are given in Table ...no cointegration relation among variables of Canada, India and Japan equations and that α 3 of Germany, α 2 of Italy and USA ...
12
A Jackknife correction to a test for cointegration rank
... trace test of cointegration rank. Johansen [ 11 ] demonstrated how Bartlett corrections can be made to the statistic; these rely on various asymptotic expansions of the statistic’s expectation and ...
21
A Cointegration Test for Turkish Foreign Exchange Market Efficiency
... the Johansen cointegration test results indicate that the forward rates are cointegrated with its corresponding spot rate with a unitary cointegrating vector (1, -1), then for the forward rate ...
21
Foreign Aid and Economic Growth: A Cointegration Test for Cambodia
... Cambodia. Johansen cointegration test indicates a significantly positive long-run effect of foreign aid on economic growth of Cambodia for the period of ...
5
A Wald test for the cointegration rank in nonstationary fractional systems
... trace test for the cointegration rank based on a generalized eigenvalue problem of the type considered by Johansen [1988, ...the cointegration rank under the null ...based test and the ...
30
Multivariate Granger causality between macro variables and KSE 100 index: evidence from Johansen cointegration and Toda & Yamamoto causality
... Fuller test concluded that the KSE 100 stock returns, the rate of exchange, interest rate, and the rate of inflation data series showed a level unit ...the Johansen multivariate cointegration ...
26
Trade Sustainability in the Forestry Domain: Evidence from Malaysia using Johansen and Bound Test Method
... the cointegration test is conducted to determine the presence of a long run equilibrium relationship between export and import in the categories of forestry ...of Johansen cointegration ...
10
The Demand for Money in Cote d’Ivoire: Evidence from the Cointegration Test
... This paper demonstrates that there is a long run equilibrium relationship between money supply and its main determinants, real income (GDP) and interest rate in Cote d’Ivoire. In order to investigate long-term ...
16
Modelling real GDP per capita in the USA: cointegration test
... When cointegration rank is 0, any linear combination of the two variables is a non-stationary ...the Johansen test results in rank 1, a cointegrating relation between the involved variables does ...
34
A Sieve Bootstrap Test for Cointegration in a Conditional Error Correction Model
... to cointegration testing in error correction ...trace test for cointegration rank by Johansen ...bootstrap test in a threshold vector error correction ...the test with known ...
50
Johansen Cointegration-Granger Causality Model Relationship between IDR and BATH Currency
... The purpose of this study to investigate the relationship in the long term and mutual relationship between the exchange rate of currency IDR (Indonesia) with BATH (Thailand). Study method used in this study, namely the ...
8
Effectiveness of the National Credit Act of South Africa in reducing household debt: A Johansen cointegration and vecm analysis
... the Johansen Co-integration tests with the Granger-type causality test model with a one period lagged error correction term ...The Johansen co-integration test is not enough to describe fully ...
14
Test for cointegration rank in general vector autoregressions
... his cointegration rank test statisic for a vector autoregression where the parameters are restricted so the process is inte- grated of order ...The test statistic is shown to have the usual ...
28
The likelihood ratio test for the rank of a cointegration submatrix
... LR test in a classical ...same test can be used to test hypotheses on and ? ...in Johansen and Juselius (1992) for which computer software is already ...the test gives restricted ...
25
The Long-Run Impact of Bank Credit on Economic Growth in. Ethiopia: Evidence from the Johansen s Multivariate. Cointegration Approach
... hat inflation has negative and significant effect on real output per worker growth due to its adverse effect of sending unwanted signals to the producers and result in temporary h. However, higher inflation will increase ...
14
Money, Output and Inflation in Bangladesh: A Test of Cointegration and Causality
... 8. Conclusion In this paper, I have used monthly data to analyze the long run relationship between money supply, inflation, and output growth of Bangladesh. Using the Johansen multivariate technique, I have found ...
11
Trade Sustainability in the Forestry Domain: Evidence from Malaysia using Johansen and Bound Test Method
... To test the robustness, Johansen (1991) cointegration method and ARDL approach were employed and the period of the study covers annual data from 1961 to ...Bounds test as ...
10