Testing for cointegration using the Johansen methodology when variables are near-integrated: size distortions and partial remedies

Erik Hjalmarsson and Pär Österholm

Empirical Economics, 2010, vol. 39, issue 1, 76 pages

Keywords: Cointegration; Near unit root; Spurious rejection; C12; C15; C32 (search for similar items in EconPapers)
Date: 2010
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Working Paper: Testing for cointegration using the Johansen methodology when variables are near-integrated (2007)
Working Paper: Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated (2007)
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DOI: 10.1007/s00181-009-0294-6

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