A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics

Keywords

Cointegration, Rank (graph theory), Quantile, Statistics, Econometrics

References

• Determination of Cointegration Rank in the Presence of a Linear TrendSøren Johansen — 1992
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive ModelsSøren Johansen — 1991
• STATISTICAL ANALYSIS OF COINTEGRATION VECTORSSøren Johansen — 1988

Cited by

• Estimating Core Inflation - The Role of Oil Price Shocks and Imported InflationHilde C. Bjørnland — 1997
• An exploration of the long-run relationship between saving and investment in the developing economies: A tale of Latin American countriesDipendra Sinha, Tapen Sinha — 1998
• Generalized purchasing power parity, real exchange rates, and structural changes in the Indonesian economySahala Lumban Gaol — 1994
• Cointegration Analysis of Commodity Prices: Much Ado about the Wrong Thing?Mindy L. Mallory, Sergio H. Lence, Mallory, Mindy L. — 2010
• Comovements among European equity sectors: Selected evidence from the consumer discretionary, consumer staples, financial, industrial and materials sectorsSiv Heng Taing, Andrew C. Worthington — 2002
• Economic growth in Indonesia: the driving forces of the level and the growth rate of real per capita income: an econometric time series approachParjiono — 2009
• The Diffusion of Inflation Expectations: Theory and EvidenceJim Granato, Melody Lo, M. C. Sunny Wong — 2004
• La tasa de cambio real como meta de política: teoría y evidencia [Targeting the real exchange rate: Theory and evidence]Carmen Reinhart, Guillermo A. Calvo, Carlos Végh — 1994
• Impact of Wheat and Rice Export Ban on Indian Market IntegrationMaria Christina Jolejole-Foreman, Mindy L. Mallory, Katherine R. Baylis — 2013
• La sostenibilidad del déficit exterior de EspañaVicente Donoso Donoso, Víctor Martín — 2010
• The impact of inflation uncertainty on interest ratesChongcheul Cheong, Gihong Kim, Jan M. Podivinsky — 2010
• Testing PPP Hypotheses between Japan and the Six G7 CountriesYoshihiko Tsukuda, Tatsuyoshi Miyakoshi — 2000
• European Sovereign CDS Premia during the Crisis – A Cointegration AnalysisAlexander Schmidt — 2013
• Hubungan antara Kadar Pulangan Nominal dengan Permintaan Deposit Sistem Perbankan Islam di MalaysiaZulkefly Abdul Karim, Aminudin Mokhtar, Mohd Azlan Shah Zaidi — 2004
• Export vs. import – led growth in MexicoJoseph Kababie — 2010
• Financial development, trade openness and economic growth nexus: Time series evidence for GreeceSafoura Norouzi Abadchi — 2011
• An Investigation of the Lead-Lag Relationship in Returns and Volatility between Cash and Stack Index Futures: The Case of GreeceIlias D. Visvikis, Panayotis Alexakis, Manolis G. Kavussanos — 2002
• AN EMPIRICAL INVESTIGATION OF THE INTERRELATEDNESS OF SELECTED MIDDLE EASTERN COUNTRIESMichael Parker, Tammy Parker, Arif Qayyum — 2008
• Three Essays in Forward Rate Unbiasedness HypothesisDevalina Chatterjee — 2010
• A Daily View of the Term Structure Dynamics: Some International EvidenceΚωνσταντίνος Δράκος — 2002

Related papers

• Mixed Signals Among Tests for Panel CointegrationJoakim Westerlund, Syed Abul Basher — 2007
• Forecasting U.S. Shelled Pecan Prices: A Cointegration ApproachMohammed Ibrahim, Wojciech J. Florkowski, Ibrahim, Mohammed — 2007
• Cointegration tests at the quantilesMarilena Furno — 2020
• Behaviour of cointegration tests in the presence of structural breaks in varianceJaesun Noh, Tae‐Hwan Kim — 2003
• A cointegration analysis of gasoline demand in the United StatesZia Wadud, Daniel J. Graham, Robert B. Noland — 2009
• REGIME-SENSITIVE COINTEGRATION WITH AN APPLICATION TO INTEREST-RATE PARITYPierre L. Siklos, Clive W. J. Granger
• Total Factor Productivity Estimates for a Sample of European Regions: A Panel Cointegration ApproachMaria Gabriela Ladu — 2007
• Rational bubbles in the US stock market? Further evidence from a nonparametric cointegration testTsangyao Chang, Chi-Chen Chiu, Chien‐Chung Nieh — 2007