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Søren Johansen Cointegration I (1) Time Series Dickey-Fuller Augmented Unit Roots

named after Søren Johansen, is a procedure for testing cointegration of several I(1) time series. This test permits more than one cointegrating relationship so is more generally applicable than the Engle–Granger test which is based on the Dickey–Fuller (or the augmented) test for unit roots in the residuals from a single (estimated) cointegrating relationship.[2] There are two types of Johansen test, either with trace or with eigenvalue, and the inferences might be a little bit different. The null hypothesis for the trace test is the number of cointegration vectors r ≤ ?, the null hypothesis for the eigenvalue test is r = ?. Just like a unit root test, there can be a constant term, a trend term, both, or neither in the model. For a general VAR(p) model: X_{t}=\mu+\Phi D_{t}+\Pi_{p}X_{t-p}+\cdots+\Pi_{1}X_{t-1}+e_{t},\quad t=1,\dots,T There are two possible specifications for error correction: that is, two VECM (vector error correction models): 1. The longrun VECM: \Delta X_t =\mu+\Phi D_{t}+\Pi X_{t-p}+\Gamma_{p-1}\Delta X_{t-p+1}+\cdots+\Gamma_{1}\Delta X_{t-1}+\varepsilon_t,\quad t=1,\dots,T

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59 views1 page

Søren Johansen Cointegration I (1) Time Series Dickey-Fuller Augmented Unit Roots

named after Søren Johansen, is a procedure for testing cointegration of several I(1) time series. This test permits more than one cointegrating relationship so is more generally applicable than the Engle–Granger test which is based on the Dickey–Fuller (or the augmented) test for unit roots in the residuals from a single (estimated) cointegrating relationship.[2] There are two types of Johansen test, either with trace or with eigenvalue, and the inferences might be a little bit different. The null hypothesis for the trace test is the number of cointegration vectors r ≤ ?, the null hypothesis for the eigenvalue test is r = ?. Just like a unit root test, there can be a constant term, a trend term, both, or neither in the model. For a general VAR(p) model: X_{t}=\mu+\Phi D_{t}+\Pi_{p}X_{t-p}+\cdots+\Pi_{1}X_{t-1}+e_{t},\quad t=1,\dots,T There are two possible specifications for error correction: that is, two VECM (vector error correction models): 1. The longrun VECM: \Delta X_t =\mu+\Phi D_{t}+\Pi X_{t-p}+\Gamma_{p-1}\Delta X_{t-p+1}+\cdots+\Gamma_{1}\Delta X_{t-1}+\varepsilon_t,\quad t=1,\dots,T

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rivaldo10j
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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named after Sren Johansen, is a procedure for testing cointegration of several I(1) time

series. This test permits more than one cointegrating relationship so is more generally
applicable than the EngleGranger test which is based on the DickeyFuller (or
the augmented) test for unit roots in the residuals from a single (estimated) cointegrating
relationship.[2]
There are two types of Johansen test, either with trace or with eigenvalue, and the
inferences might be a little bit different. The null hypothesis for the trace test is the number
of cointegration vectors r ?, the null hypothesis for the eigenvalue test is r = ?.
Just like a unit root test, there can be a constant term, a trend term, both, or neither in the
model. For a general VAR(p) model:

There are two possible specifications for error correction: that is, two VECM
(vector error correction models):
1. The longrun VECM:

Pg.1/1

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