Finding cointegration rank in high dimensional systems using the Johansen test : an illustration using data based Monte Carlo simulations
Mun S. Ho and Bent E. Sørensen
| Year of publication: |
1996
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|---|---|
| Authors: | Ho, Mun |
| Other Persons: | Sørensen, Bent E. (contributor) |
| Published in: |
The review of economics and statistics. - Cambridge, Mass. : MIT Press, ISSN 0034-6535, ZDB-ID 207962-8. - Vol. 78.1996, 4, p. 726-732
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| Subject: | Zeitreihenanalyse | Time series analysis | Simulation | Statistische Methodenlehre | Statistical theory | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001209682