Finding Cointegration Rank in High Dimensional Systems Using the JohansenTest. An Illustration Using Data Based Monte Carlo Simulation
Publication information:
Ho, M. S., & Sorensen, B. (1996). Finding Cointegration Rank in High Dimensional Systems Using the JohansenTest. An Illustration Using Data Based Monte Carlo Simulation. Review of Economics and Statistics, 78(4), 726-732.