Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1141290 | Mathematics and Computers in Simulation | 2007 | 9 Pages |
Abstract
This paper investigates two problems which a practitioner of Johansen's cointegration analysis faces: the pre-testing problem and the inconsistency problem. Johansen's cointegration analysis requires hypothesis testing at four stages, and thus Type I errors accumulate. In addition, it often occurs that the results of unit root tests and those of cointegration tests are inconsistent. In order to overcome these problems, an information-criterion-based model selection method for jointly detecting unit roots and cointegration is proposed. Through empirical applications and Monte Carlo simulations, the usefulness of this method is demonstrated.
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Authors
Kosei Fukuda,