In statistics, the Johansen test, named after Søren Johansen, is a procedure for testing cointegration of several, say k, I(1) time series.

We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace tests for cointegration under the empirically relevant situation of near- ...

17 мая 2024 г. · The Johansen test, which assesses the cointegration of multiple time series, is based on the Vector Error Correction Model (VECM). However, ...

The Johansen test is used to test cointegrating relationships between several non-stationary time series data. Compared to the Engle-Granger test, the Johansen ...

27 дек. 2023 г. · The Johansen Cointegration Test is a statistical procedure used to analyse the long-term relationships between multiple time series variables.

28 янв. 2020 г. · The Johansen testing procedure sequentially tests the null hypothesis that the number of cointegrating vectors, k = m against the alternative ... Cointegration Tests · Cointegration Test with...

Johansen's test is a way to determine if three or more time series are cointegrated. More specifically, it assesses the validity of a cointegrating relationship ...

In this article we are going to discuss a test due to Johansen [3] that allows us to determine if three or more time series are cointegrated.

For these cases, Johansen (1988, 1991) proposed two tests: The trace test and the maximal eigenvalue test. They are based on Granger's (1981). ECM ...

Conduct the Johansen cointegration test to assess cointegration among the interest rate series. Specify both test types trace and maxeig , and set the level of ...