Estimation and Hypothesis Testing of Cointegration

By Adam D. Nowak. 2012

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Examining the determinants of inward FDI: Evidence from Norway (2015, methodology): “According to Johansen (1988, 1991) and Johansen and Juselius (1990, 1992), a p- dimensional vector time series tz is considered and modelled as an Unrestricted Vector Autoregression (VAR) involving up to k-lags of tz : )niid(0,~,11 ttktktt zAzAz (3) where tz is a )1( p matrix, and iA is a pp…”
Impact of Macroeconomic Forces on Nonperforming Loans: An Empirical Study of Commercial Banks in Pakistan (2013, methodology): “The Johansen (1988, 1991), Johansen and Juselius (JJ) (1990) tests are used to find the maximum likelihood ratios while Engle-Granger (1987) test is used to evaluate the residual based long run relationship between variables.”
The impact of Macroeconomic Fundamentals on Stock Prices revisited: An Evidence from Indian Data (2012, methodology): “Maysami et al. (2004) examined the relationship among the macroeconomic variables and sector wise stock indices in Singapore using monthly data from January 1989 to December 2001.”