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Mathematical finance / Cointegration / Unit root / Johansen test / Vector autoregression / Regression analysis / Statistical hypothesis testing / Economic model / Stationary process / Statistics / Time series analysis / Econometrics


Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated
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Document Date: 2008-01-17 10:48:13

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City

Washington / DC / /

Country

Sweden / United States / /

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Facility

Uppsala University / /

IndustryTerm

trivariate systems / empirical applications / /

Organization

Federal Reserve Board / Board of Governors of the Federal Reserve System International Finance Discussion Papers Number / Department of Economics / International Monetary Fund / Uppsala University / Pär Österholm# Department of Economics / Division of International Finance / US Federal Reserve / Board of Governors / /

Person

Meredith Beechey / Benjamin Chiquoine / Khamis / Jan Wallander / Lennart Hjalmarsson / Randi Hjalmarsson / Erik Hjalmarsson / Leone / Tom Hedelius / /

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Position

author / applied researcher / writer / /

Product

Johansen Methodology / /

URL

www.federalreserve.gov/pubs/ifdp / http /

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