A more powerful modification of Johansen's cointegration tests

C-Tier
Journal: Applied Economics
Year: 2008
Volume: 40
Issue: 6
Pages: 725-729

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We apply the idea of using reversed time series to improve the power of Johansen tests. We suggest computationally simple variants of the trace and maximum eigenvalue statistics and establish their limit distributions. Both are shown, via simulation, to yield nontrivial power gains.

Technical Details

RePEc Handle
repec:taf:applec:v:40:y:2008:i:6:p:725-729
Journal Field
General
Author Count
3
Added to Database
2026-01-25