Johansen, S. (1992a), Cointegration in Partial Systems and the Efficiency of Single-Equation Analysis, Journal of Econometrics 52, p. 389-402.  Home/Search   Document Not in Database   Summary   Related Articles   Check

....The second row of the table indicates the remaining number of lags of the respective VAR. In the following section of the table, the tests on the cointegrating vectors are given. Two likelihood ratio tests are calculated, the maximum eigenvalue test (LR(r,r 1) and the trace test (LR(r,N) see Johansen and Juselius (1990) for more details) Throughout this study, one (two) asterisk(s) indicates a rejection of the null hypothesis at a 5 (1 ) level. In the next row, the actual estimates of the significant cointegrating vector, named b , are recorded. Finally, in the last part of the table, the estimates of the ....

Johansen, S. (1992a), Cointegration in Partial Systems and the Efficiency of Single-Equation Analysis, Journal of Econometrics 52, p. 389-402.

.... fiz t Gamma1 ) v t ; t = 1; T: 2. 2) The adopted single equation approach to estimate long run equilibrium relations and adjustment dynamics is equivalent to full information ML estimation (Johansen 1991) and thus asymptotically efficient if a set of assumptions can be made (see e.g. Johansen (1992), and Banerjee, Dolado, Galbraith and Hendry (1993) First, the involved variables y t and z t are assumed to be integrated of order one. Second, there exists a linear combination of the nonstationary processes providing stationary residuals, i.e. y t and z t are cointegrated with cointegrating ....

....by L(X n ) L(X) 10 Testing on weak exogeneity. Now consider the problem of testing weak exogeneity of z t for inference on fi and ff 1 in the conditional model (2.1) As mentioned, weak exogeneity holds if the null hypothesis H (2) 0 : ff 2 = 0 is true. Thus, a natural procedure (see Johansen 1992) to test on weak exogeneity is firstly to estimate equilibrium errors and secondly to infer whether this series improves a regression model explaining Deltaz t . Following Boswijk (1995b) this procedure can be interpreted as a Lagrange Multiplier test. Under H (2) 0 , equation (2.2) reduces to ....

Johansen, S. (1992). Cointegration in partial systems and the efficiency of single equation analysis. Journal of Econometrics 52, 389--402.

....exchange market efficiency under risk aversion. The remainder of the paper is constructed as follows. Section 2 outlines the multivariate unit root test employed. In section 3 we report the test findings. W e summarize and conclude in section 4. 2. The Johansen Likelihood Ratio (JLR) Test Johansen (1992) suggests a maximum likelihood method to determine the number of common trends in a system of unit root variables. Without any loss of generality, a p dimensional vector autoregressive (VAR) process of k th order can be written as follows: t X = 1 t 1 X . k 1 t k 1 X t k X ....

Johansen, S. (1992), Cointegration in partial systems and the efficiency of single equation analysis, Journal of Econometrics, 52, 389-402.

....for the Deutsche mark, Swiss franc, and Italian lira. The remainder of the paper is constructed as follows. Section 2 outlines the multivariate unit root test employed. In section 3 we report the test findings. Section 4 summarizes and concludes. II. The Johansen Likelihood Ratio (JLR) Test Johansen (1992) suggests a maximum likelihood method to determine the number of common trends in a system of unit root variables. Without any loss of generality, a p dimensional vector autoregressive (VAR) process of k th order can be written as follows: t X = 1 t 1 X . k 1 t k 1 X t k X ....

Johansen, S. (1992), Cointegration in partial systems and the efficiency of single equation analysis, Journal of Econometrics, 52, 389-402.

.... Caporale and Pittis (1998a) discuss the relationship between cointegration and predictability of asset prices, and show that in n dimensional systems the two are not synonymous in the presence of r cointegrating vectors, only r asset prices are predictable, and the exogeneity tests introduced by Johansen (1992) can be used to establish which ones can be predicted. However, despite the increasing integration of international financial markets, domestic factors can still be important in the determination of interest rates, especially in the case of longterm rates, for which there is some evidence that ....

....and Rush (1989) However, as demonstrated by Caporale and Pittis (1998a) if n asset markets are being considered, and r cointegrating relationships are found, this means that only r asset prices are predictable on the basis of their links with other prices. The exogeneity tests introduced by Johansen (1992) can be used to detect which particular prices are predictable. In the case of long term interest rates, it is natural to think that economic fundamentals, as well as international financial flows, should play a role, which is confirmed by some empirical studies, for instance Caporale and Williams ....

Johansen, S. (1992), "Cointegration in partial systems and the efficiency of single equation analysis," Journal of Econometrics, 52, 389-402.

....cointegrating vector. The null hypothesis that a variable is weakly exogenous is equivalent to the hypothesis that this variable is not error correcting. This hypothesis can be tested by means of likelihood ratio tests on the adjustment coefficients of each of the three equations in the model (see Johansen (1992), Johansen and Juselius (1992) Urbain (1992) and Boswick (1995) Results from these tests are reported in Table 5, and they suggest that the US interest rate is exogenous with respect to the cointegrating vector. It is important to note that any evidence pointing to the exogeneity of the ....

Johansen, S. (1992), "Cointegration in partial systems and the efficiency of single equation analysis", Journal of Econometrics, 52, 389-402.

....sustains full sample conditioning. All of these results hold for y t ; z t being vectors. Formulations of weak exogeneity conditions and tests for various parameters of interest in cointegrated systems are discussed in Boswijk [1992a,b] Dolado [1992] Hendry and Mizon [1993] Johansen [1992a,b] Johansen and Juselius [1990] and Urbain [1992] We establish the specific necessary conditions directly in each specification in the next section. 3 A BIVARIATE COINTEGRATED SYSTEM We consider the following bivariate DGP for the I(1) vector x t = y t : z t ) 0 : y t = fiz t w 1t (7) z t = y t Gamma1 w 2t (8) where: ....

Johansen, S. (1992a), Cointegration in Partial Systems and the Efficiency of Single Equation Analysis, Journal of Econometrics, 52, 389-402.

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Johansen, Soren 1992. "Cointegration in partial systems and the efficiency of single equation analysis." Journal of Econometrics 52: 389-402.

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Johansen, Sren (1992), "Cointegration in Partial Systems and the Efficiency of Single Equation Analysis," Journal of Econometrics, 52, 389-402.

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