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Robust Johansen Cointegration/Evidence
Method evidence record

Robust Johansen Cointegration

The Robust Johansen Cointegration test extends the classical Johansen (1988, 1991) likelihood-ratio framework for determining the cointegrating rank of a multivariate I(1) system to settings where standard Gaussian assumptions fail — in particular when the data exhibit outliers, fat-tailed innovations, or conditional heteroskedasticity. Robust modifications adjust residuals, re-weight observations, or bootstrap critical values so that rank inference remains valid under these violations.

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Source record

Citations copied verbatim from the method’s source record. No claim-level verification is inferred from them.

Robust Johansen Cointegration Test
Taxonomic method record · regression-model / econometrics
  • Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551–1580. · DOI 10.2307/2938278
  • Cavaliere, G., Rahbek, A., & Taylor, A. M. R. (2010). Cointegration Rank Testing under Conditional Heteroskedasticity. Econometric Theory, 26(6), 1719–1760. · DOI 10.1017/s0266466609990776
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Related methods

Generated from the method graph and shown as machine-suggested relations — no evidence claim is inferred.

Taxonomic bucketEngle-Granger Cointegration Testmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketPanel Johansen Cointegrationmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketRobust Engle-Granger Cointegrationmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketStructural break Johansen cointegrationmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketVector Error Correction Modelmachine-suggested · Relational suggestion, not evidence.

Evidence status

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Bibliographic sources are present. Claim-level evidence review has not been performed.

Sources

2 recorded citations, copied from the method source record.

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