We propose an intuitive and simple-to-use procedure for estimating the cointegration rank of a high-dimensional time series system with possible breaks. Based on a similar idea to a principal ...

This paper presents Monte Carlo simulations for the Johansen cointegration test which indicate that the critical values applied in a number of econometrics software packages are inappropriate. This is ...

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace tests for cointegration under the ...

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation We apply the fundamentals equilibrium exchange rate (FEER) approach and the Johansen cointegration methodology to ...