Comparisons of tests for multivariate cointegration

Reimers, Hans-Eggert

doi:10.1007/bf02925336

Cited by 489 publications

(269 citation statements)

References 9 publications

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“…VAR determined by Schwarz criterion and equal to 2 for the VAR in levels. To correct for finite sample bias, the trace statistic is multiplied by the scale factor (T-pk)/T, where T is the number of the observations, p the number of the variables and k the lag order of the underlying VAR model in levels, see Reimers (1992). Critical values are taken from MacKinnon, Haug and Michelis (1999), and are also valid for the finite sample correction.…”

Section: Discussionmentioning

confidence: 99%

The long run relationship between private consumption and wealth: common and idiosyncratic effects

Dreger

Reimers

2011

Port Econ J

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Section: Discussionmentioning

confidence: 99%

The long run relationship between private consumption and wealth: common and idiosyncratic effects

Dreger

Reimers

2011

Port Econ J

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“…Moreover, as Hakkio and Rush (1991b) and Campbell and Perron (1991) pointed out the ability to detect cointegration is a function of the total sample length and not a function of data frequency. To deal with the relatively small sample size, we chose to se the small sample degree of freedom correction factor as s ggested in Reimers (1992) and Che ng and Lai (1993) among others shock has occurred. To address the potential issue of structural breaks due to the currency crisis, the analysis is conducted for two periods.…”

Section: The Gregory and Hansen Cointegration Methodsmentioning

confidence: 99%

“…The correction factor is necessary to reduce the excessive tendency of the test to falsely reject the null hypothesis of no cointegration often associated with data of a relatively short span. The importance of this correction factor in small samples is documented in Reimers (1992) and Cheung and Lai (1993) Cheung and Lai (1993) provide the correction factor for small sample sizes of the Johansen likelihood ratio test while Reinsel and Ahn (1988) suggest an adjustment to the estimated trace and maximum eigenvalue statistics. In the analysis that follows, we rely on the latter suggestion to deal with the small-sample size 11 .…”

Section: Multivariate Cointegration Testmentioning

confidence: 99%

On the sustainability of current account deficits: evidence from four ASEAN countries

Baharumshah

Lau

Fountas

2003

Journal of Asian Economics

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This paper examines the sustainability of the current account imbalance for four ASEAN countries (Indonesia, Malaysia, the Philippines and Thailand) over the 1961-1999 period.To this end, we utilize the intertemporal budget constraint (IBC) model to explain the behavior of the current account in these countries. The analysis is based on various unit root and cointegration procedures including those allowing for a structural break to deal with the major shortcomings of previous studies. The empirical results indicate clearly that for all countries, except Malaysia, current account deficits were not on the long-run steady state in the pre-crisis era. This leads us to conclude that the current accounts of these countries were unsustainable and did not move towards external account equilibrium. Moreover, the persistent current account deficits might serve as a leading indicator of financial crises. In contrast, we find strong comovement between inflows and outflows in Indonesia, the Philippines and Thailand in the period including the post-crisis years, while Malaysia was on an unsustainable path. This is because macroeconomic performance of most of the ASEAN countries has changed dramatically since the onset of the Asian crisis in mid-1997. The evidence suggests that action to prevent large appreciations should have been taken prior to the 1997 crisis. JEL classification: F30, F32

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“…The Johansen procedure is executed assuming an unrestricted constant term and a deterministic trend that is restricted to lie in the cointegration space; g denotes the number of cointegrating vectors. Figures in parentheses are test statistics adjusted for degrees of freedom (Reimers, 1992 Osterwald-Lenum, 1992;Johansen, 1995, chap. 15).…”

Section: Empirical Analysis: Modeling the Real Exchange Ratementioning

confidence: 99%

Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis

Taylor

Sarno

2001

Studies in Nonlinear Dynamics &Amp; Econometrics

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Abstract. We examine the behavior of the real exchange rates of nine transition economies during the 1990s. We propose an empirical model rationalized on the basis of standard economic models in the tradition of Mundell-Fleming-Dornbusch and Harrod-Balassa-Samuelson, allowing explicitly for real interest rate differentials and (implicitly) for productivity differentials to have an impact on real exchange rate equilibrium and employing nonlinear modeling techniques that are consistent with recently developed economic theories and observed regularities. Using a nonlinear multivariate generalization of the Beveridge-Nelson decompositionapplied to our models, we also identify the permanent and temporary components of these real exchange rates implied by our estimates. The results have a natural interpretation and clear policy implications.

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Comparisons of tests for multivariate cointegration

Cited by 489 publications

References 9 publications

The long run relationship between private consumption and wealth: common and idiosyncratic effects

The long run relationship between private consumption and wealth: common and idiosyncratic effects

On the sustainability of current account deficits: evidence from four ASEAN countries

Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis

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