Mantalos, Panagiotis; Mansson, Kristofer; Shukur, Ghazi - In: International Journal of Computational Economics and … 1 (2010) 3/4, pp. 327-342
This paper investigates the effect of spillover (i.e., causality in variance) on the Johansen tests for cointegration by conducting a Monte Carlo experiment where 16 different data generating processes (DGP) are used and a number of factors that might affect the properties of the Johansen...