Journal of Applied Econometrics Vol. 24, No. 5, Aug., 2009 Testing for Cointegration Using the Johansen Approach: Are We Using the Correct Critical Values? This is the metadata section. Skip to ...

This paper employs response surface regressions based on simulation experiments to calculate distribution functions for some well-known unit root and cointegration test statistics. The principal ...

Nonlinear Cointegration and Time Series Analysis Publication Trend The graph below shows the total number of publications each year in Nonlinear Cointegration and Time Series Analysis.

We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace tests for cointegration under the empirically relevant situation of near-integrated variables. Using Monte Carlo ...

In this paper, we derive evidence on the integration of international stock markets from the cointegration properties of international stock market prices. Using the multivariate cointegration test of ...