This paper presents Monte Carlo simulations for the Johansen cointegration test which indicate that the critical values applied in a number of econometrics software packages are inappropriate. This is ...

We propose an intuitive and simple-to-use procedure for estimating the cointegration rank of a high-dimensional time series system with possible breaks. Based on a similar idea to a principal ...

Theoretically, it is believed that FDI is a principal factor supporting and accelerating economic enhancement of an economy over the years. FDI boosts the productivity of host countries and promotes ...

This is a preview. Log in through your library . Abstract Applying the Johansen cointegration test, this study finds that energy consumption, economic growth, capital and labor are cointegrated.

In this paper we analyze bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen et al. (2006, "Econometric Theory" 22, 15-68) and ...

This paper employs response surface regressions based on simulation experiments to calculate asymptotic distribution functions for the Johansen-type likelihood ratio tests for cointegration. These are ...

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 ...

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