Concepedia

Johansen Cointegration Test

The Johansen Cointegration Test is a multivariate statistical procedure used to determine the number of cointegrating relationships among non-stationary time series variables by estimating and testing the rank of a coefficient matrix derived from a vector error correction model.

1.5K

Publications

62.2K

Citations

2.7K

Authors

1K

Institutions

Publications per year

2017–2026

471

Variants

Johansen ProcedureJohansen Test

Parents

Publications

1.5K

Numerical distribution functions of likelihood ratio tests for cointegration

James G. MacKinnon, Alfred A. Haug, Leo Michelis · Journal of Applied Econometrics · 1999 · 2K citations

, , +12

FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION

Yin‐Wong Cheung, Kon S. Lai · Oxford Bulletin of Economics and Statistics · 1993 · 1.2K citations

, , +5

Common stochastic trends in international stock markets

Kenneth Kasa · Journal of Monetary Economics · 1992 · 955 citations · Full text

, , +11

Comparisons of tests for multivariate cointegration

Hans‐Eggert Reimers · Statistical Papers · 1992 · 590 citations

, , +8

Revisiting the tourism-led-growth hypothesis for Turkey using the bounds test and Johansen approach for cointegration

Salih Katırcıoğlu · Tourism Management · 2008 · 533 citations

, , +13

1–5 of 1.5K

Authors

2.7K

  1. JG
    Juan Gabriel Brida

    Free University of Bozen-Bolzano, Italy

    9 publications · 711 citations

    9

    h-index

  2. TC
    Tsangyao Chang

    Feng Chia University, Taiwan

    8 publications · 579 citations

    8

    h-index

  3. KK
    Korhan K. Gökmenoğlu

    Eastern Mediterranean University, Cyprus

    8 publications · 426 citations

    8

    h-index

  4. WA
    Wiston Adrián Risso

    University of Siena, Italy

    7 publications · 645 citations

    7

    h-index

  5. AO
    Adeyemi Ogundipe

    Covenant University, Nigeria

    7 publications · 198 citations

    7

    h-index

1–5 of 2.7K

Institutions

1K

  1. Covenant University

    Ota, Nigeria

    16 h-index

    61 publications

    1.9K citations

  2. Sichuan Agricultural University

    Ya'an, China

    15 h-index

    37 publications

    2.6K citations

  3. International Monetary Fund

    Washington D.C., United States

    14 h-index

    20 publications

    655 citations

  4. Eastern Mediterranean University

    Famagusta, Cyprus

    12 h-index

    25 publications

    1.9K citations

  5. University of Macedonia

    Thessaloniki, Greece

    11 h-index

    14 publications

    362 citations

  6. COMSATS University Islamabad

    Islamabad, Pakistan

    11 h-index

    25 publications

    1.7K citations

  7. University of Malaya

    Kuala Lumpur, Malaysia

    10 h-index

    11 publications

    599 citations

  8. University of Karachi

    Karachi, Pakistan

    10 h-index

    20 publications

    412 citations

1–8 of 1K

Venues

  1. Applied Economics

    43 publications · 2.8K citations

    27

    h-index

  2. SSRN Electronic Journal

    Repository · 61 publications · 1.7K citations

    24

    h-index

  3. RePEc: Research Papers in Economics

    Repository · 56 publications · 1.9K citations

    23

    h-index

  4. Applied Economics Letters

    37 publications · 1.4K citations

    23

    h-index

  5. Applied Financial Economics

    25 publications · 1.2K citations

    20

    h-index

1–5