Abstract

Based on the Johansen's approach for cointegration tests, we offer critical values to test for the existence and rank of cointegration between first-order integrated variables. In this single-step procedure, the cointegrating rank is equal to the number of instances in which the test statistics are less than the respective proposed critical values.

Full Text
Paper version not known

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call