A test of cointegration rank based on principal component analysis

Research output: Contribution to journalArticlepeer-review

4 Citations (Scopus)

Abstract

Using principal component methods, we construct a cointegration rank test that is less restrictive than Johansen's tests, easy to calculate, and independent of the dimension of the process. Monte Carlo simulations indicate that the proposed test outperforms Johansen's tests.

Original languageEnglish
Pages (from-to)693-696
Number of pages4
JournalApplied Economics Letters
Volume15
Issue number9
DOIs
Publication statusPublished - 2008 Jul 1
Externally publishedYes

ASJC Scopus subject areas

  • Economics and Econometrics

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