Talk:Johansen test

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Statistics Low‑importance

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speedy deletion

Hi, now context is provided, but i don't know whether you are satisfied. please let me know. thanks.

I have just started the page, i am writing it. Please help to improve it! Don't just delete it.

Jackzhp (talk) 01:12, 14 April 2009 (UTC)[reply]

delete it.. it's no use —Preceding unsigned comment added by 161.53.29.17 (talk) 05:52, 10 June 2010 (UTC)[reply]

The notation in the equations needs to be defined. Duoduoduo (talk) 18:11, 30 December 2010 (UTC)[reply]

Agree! This hasn't been addressed since 2010. Please add definitions for the symbols used in the equations. 141.211.2.210 (talk) 19:32, 20 June 2013 (UTC)[reply]

Reference

Hi, the reference is now Johansen, Søren, "Cointegration and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models", Econometrica, Vol.59, No.6 (Nov 1991) 1551–1580.

whereas it should be Johansen, Søren, "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models", Econometrica, Vol.59, No.6 (Nov 1991) 1551–1580.

-- 134.21.147.162 (talk) 08:19, 10 October 2011 (UTC)[reply]

Great, update it. 0¹⁸ (talk) 19:49, 10 October 2011 (UTC)[reply]

Null Hypotheses?

What are the null hypoetheses for the two version of the test? The article shows only question marks on the right hand side. Nmisra (talk) 04:58, 25 November 2011 (UTC)[reply]

Notability

The Johansen test is widely used in econometrics, so it definitely is notable (Google Scholar shows 5836 citations today). Unfortunately, I am a complete beginner in the area and can't contribute. But there might be some helpful information in the following:

Cointegration was introduced to econometrics by Engle and Granger (1987)

Robert F. Engle and C. W. J. Granger: Co-Integration and Error Correction: Representation, Estimation, and Testing Reviewed. Econometrica Vol. 55, No. 2 (Mar., 1987) 251-276. [1]

Johansen wrote a piece on cointegration in 1988 on which he build in his later work (1991, already referenced in the article)

Soren Johansen: Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control 12 (1988) 231-254. [2]

Since then, the Johansen test has made its way into classrooms and is used for all kinds of analysis, e. g. (has cointegration in its title)

Theodore M. Barnhill Jr., Frederick L. Joutz, William F. Maxwell: Factors affecting the yields on noninvestment grade bond indices: a cointegration analysis. Journal of Empirical Finance 7 (2000) 57–86. [3]

By the way: this is one of the few statistics articles that are actually understandable to laymen. So please build on it, but keep the simple introduction! --Alpenfreund (talk) 01:34, 8 May 2012 (UTC)[reply]