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Bierens' and Johansen's Method - Complements or Substitutes?

Author

Listed:
  • Wagner, Martin

    (Institute for Advanced Studies, Vienna)

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.

Suggested Citation

  • Wagner, Martin, 1999. "Bierens' and Johansen's Method - Complements or Substitutes?," Economics Series 74, Institute for Advanced Studies.
    • Handle: RePEc:ihs:ihsesp:74
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    Download full text from publisher

    File URL: https://irihs.ihs.ac.at/id/eprint/1210
    File Function: First version, 1999
    Download Restriction: no
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    Citations

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    Cited by:

    1. Bauer, Dietmar & Wagner, Martin, 2002. "Estimating cointegrated systems using subspace algorithms," Journal of Econometrics, Elsevier, vol. 111(1), pages 47-84, November.

    More about this item

    Keywords

    Cointegration; Johansen procedure; Bierens method; Robustness; Simulation; Hausdorff distance;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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