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 ...
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 ...
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 ...
Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation We apply the fundamentals equilibrium exchange rate (FEER) approach and the Johansen cointegration methodology to ...
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