Finding Cointegration Rank in High Dimensional Systems Using the Johansen Test: An Illustration Using Data Based Monte Carlo Simulations
| Year of publication: |
1996
|
|---|---|
| Authors: | Ho, Mun S. ; Sørensen, Bent E. |
| Published in: |
The review of economics and statistics. - Cambridge, Mass : MIT Press, ISSN 0034-6535, ZDB-ID 2079628. - Vol. 78.1996, 4, p. 726-732
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