JSTOR Daily

On the Size and Power of System Tests for Cointegration

System tests for cointegration proposed by Stock and Watson (1988), Johansen (1988), and Bewley and Yang (1995) are compared using Monte Carlo experiments that include overspecification of the lag ...
International Monetary Fund

Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace tests for cointegration under the ...
JSTOR Daily

Wage Growth and Inflation in the United States: Further Evidence from Johansen's Cointegration Approach

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 ...
International Monetary Fund

Can Currency Demand Be Stable Under a Financial Crisis? The Case of Mexico

Abstract:The paper finds strong evidence that real currency demand in Mexico remained stable throughout and after the financial crisis in Mexico. Cointegration analysis using the Johansen-Juselius ...