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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...
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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...
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cointegration relationship among variables implies distinguishing the
positive and the
negative effects of the
error obtained from the
cointegration regression...
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underlying variables have a long-run
common stochastic trend, also
known as
cointegration. ECMs are a theoretically-driven
approach useful for
estimating both...
- speaking, the
strategy is to find a pair of
stocks with high correlation,
cointegration, or
other common factor characteristics.
Various statistical tools have...
- "Effects of
International Remittances on the
Philippine Economy: A
Cointegration Analysis" (PDF). DLSU
Business &
Economics Review. 21 (2). De La Salle...
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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...
- most
quoted paper, "Maximum
likelihood estimation and
inference on
cointegration—with
applications to the
demand for money" has been
quoted over 16000...
-
econometrician who is
known for his
contributions to the
theory of
cointegration. He is
currently a
professor at the
Department of Economics, University...
- 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...
