Cointegration is a statistical property of a collection (X1, X2, ..., Xk) of time series variables. First, all of the series must be integrated of order... 14 KB (1,723 words) - 10:18, 24 February 2024 |
Johansen test (redirect from Johansen cointegration test) Johansen test, named after Søren Johansen, is a procedure for testing cointegration of several, say k, I(1) time series. This test permits more than one... 5 KB (642 words) - 08:19, 19 March 2024 |
cointegration relationship among variables implies distinguishing the positive and the negative effects of the error obtained from the cointegration regression... 2 KB (224 words) - 16:24, 21 September 2018 |
underlying variables have a long-run common stochastic trend, also known as cointegration. ECMs are a theoretically-driven approach useful for estimating both... 12 KB (1,878 words) - 08:41, 10 September 2023 |
 | "Effects of International Remittances on the Philippine Economy: A Cointegration Analysis" (PDF). DLSU Business & Economics Review. 21 (2). De La Salle... 454 KB (34,365 words) - 01:14, 24 April 2024 |
speaking, the strategy is to find a pair of stocks with high correlation, cointegration, or other common factor characteristics. Various statistical tools have... 15 KB (1,887 words) - 22:14, 14 January 2024 |
JSTOR 3585053. Dolado, J. J.; Jenkinson, T.; Sosvilla-Rivero, S. (1990). "Cointegration and Unit Roots". Journal of Economic Surveys. 4 (3): 249–273. doi:10... 9 KB (1,349 words) - 07:32, 22 February 2024 |
most quoted paper, "Maximum likelihood estimation and inference on cointegration—with applications to the demand for money" has been quoted over 16000... 5 KB (350 words) - 16:43, 2 July 2023 |
 | the portfolios only consist of two stocks, one can attempt to find a cointegration irregularities between the two stock price series who generally show... 10 KB (1,328 words) - 13:25, 2 February 2024 |
 | detection of breaks in mean and variance at an unknown break point. For a cointegration model, the Gregory–Hansen test (1996) can be used for one unknown structural... 16 KB (1,373 words) - 00:23, 20 March 2024 |