Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/70307
Authors: 
Wagner, Martin
Year of Publication: 
1999
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 74
Abstract: 
The paper compares the cointegration methods of Johansen and Bierens by means of simulations and a real world example. Drawing on the fact developed in a companion paper that the Johansen procedure has robustness properties against ARMA systems and the Bierens procedure is designed for ARMA systems a comparison between the two to find out in which cases the Bierens procedure outperforms the Johansen procedure seems to be reasonable exercise. It turns out that generally the Johansen procedure outperforms the Bierens procedure in terms of the quality of the tests as well as the approximation quality of the estimated cointegrating space to the true cointegrating space.
Subjects: 
cointegration
Johansen procedure
Bierens method
robustness
simulation
Hausdorff distance
JEL: 
C13
C15
C32
Document Type: 
Working Paper

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