Finding Cointegration Rank in High Dimensional Systems Using the Johansen Test: An Illustration Using Data Based Monte Carlo Simulations
The Review of Economics and Statistics
1996
Mun S. Ho, , Finding Cointegration Rank in High Dimensional Systems Using the Johansen Test: An Illustration Using Data Based Monte Carlo Simulations, The Review of Economics and Statistics, Vol. 78, No. 4 (Nov., 1996), pp. 726-732
- DOI
- 10.2307/2109959
- Volume
- 78 (4)
- Pages
- 726
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- BibTeX
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