Fukuda, Kosei - In: Mathematics and Computers in Simulation (MATCOM) 75 (2007) 1, pp. 28-36
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...