Regression model
Johansen Cointegration Test and Vector Error Correction Model
The Johansen procedure is a multivariate cointegration framework, introduced by Søren Johansen in 1991, that tests for long-run equilibrium relationships among several I(1) time series. It determines how many cointegrating vectors link the series and then builds a Vector Error Correction Model (VECM) to describe the short-run dynamics around that equilibrium.
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Sources
- Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. DOI: 10.2307/2938278 ↗
- Johansen, S. (1995). Likelihood-Based Inference in Cointegrated Vector Autoregressive Models. Oxford University Press. ISBN: 978-0198774501
Related methods
Referenced by
ARDL Bounds TestCopula ModelsNonlinear Engle-Granger CointegrationNonlinear Johansen CointegrationNonlinear VECMRealized VolatilityRobust ARDL bounds testRobust VECMStructural break Engle-Granger cointegrationTime-varying parameter Engle-Granger cointegrationTime-varying parameter Johansen cointegration