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The Johansen Test and the Transitivity Property

Author

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  • Montserrat Ferré

    (Universitat Rovira i Virgili)

Abstract

Sometimes two variables Y and Z are each cointegrated with another variable X, but Y and Z do not appear to be cointegrated with each other. This article provides a possible explanation why this might happen.

Suggested Citation

  • Montserrat Ferré, 2004. "The Johansen Test and the Transitivity Property," Economics Bulletin, AccessEcon, vol. 3(27), pages 1-7.
    • Handle: RePEc:ebl:ecbull:eb-04c10007
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    Cited by:

    1. Mishra, SK, 2004. "On generating correlated random variables with a given valid or invalid Correlation matrix," MPRA Paper 1782, University Library of Munich, Germany.
    2. Takashi Matsuki, 2016. "Linear and nonlinear comovement in Southeast Asian local currency bond markets: a stepwise multiple testing approach," Empirical Economics, Springer, vol. 51(2), pages 591-619, September.
    3. Mark J. Holmes & Arthur Grimes, 2008. "Is There Long-run Convergence among Regional House Prices in the UK?," Urban Studies, Urban Studies Journal Limited, vol. 45(8), pages 1531-1544, July.

    More about this item

    Keywords

    cointegration;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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