FINITE-SAMPLE SIZES OF JOHANSEN'S LIKELIHOOD RATIO TESTS FOR COINTEGRATION

By Yin-Wong Cheung, K. Lai. 2009

713 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/30166cd99afb9fda840297628cf3b65959ed3566

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In Economics and Econometrics

1. Manuela Pulina
2. I. Cortés-Jiménez
3. J. Nowak
4. M. Sahli
5. D. Herzer
6. F. Nowak-Lehmann
7. S. Klasen
8. T. Awokuse

Citations in the corpus

• Tourism, Capital Good Imports and Economic Growth: Theory and Evidence for Spain (2007, methodology): “According to Cheung and Ng (1998), this method is more efficient than the two-step approach of Engle and Granger (1987). Moreover, Cheung and Lai (1993) and Gonzalo (1994) reported that the Johansen’s procedure had good properties with both large and finite samples.”
• Theory and Practice of GVAR Modeling (2016, neutral): “These (15)The maximum eigenvalue test statistics is also less robust to departures from normal errors, see Cheung and Lai (1993) for a Monte Carlo evidence.”