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Institut für Höhere Studien (IHS), Wien Institute for Advanced Studies, Vienna Reihe Ökonomie / Economics Series No. 74 Bierens' and Johansen's Method – Complements or Substitutes? Martin Wagner
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Page 1: Institut für Höhere Studien (IHS), Wien Institute for Advanced Studies, Vienna · 2017. 5. 5. · Bierens' and Johansen's Method – Complements or Substitutes? Martin Wagner Reihe

Institut für Höhere Studien (IHS), Wien Institute for Advanced Studies, Vienna Reihe Ökonomie / Economics Series No. 74

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

Martin Wagner

Page 2: Institut für Höhere Studien (IHS), Wien Institute for Advanced Studies, Vienna · 2017. 5. 5. · Bierens' and Johansen's Method – Complements or Substitutes? Martin Wagner Reihe
Page 3: Institut für Höhere Studien (IHS), Wien Institute for Advanced Studies, Vienna · 2017. 5. 5. · Bierens' and Johansen's Method – Complements or Substitutes? Martin Wagner Reihe

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

Martin Wagner

Reihe Ökonomie / Economics Series No. 74

October 1999

Institut für Höhere Studien Stumpergasse 56, A -1060 Wien Fax: +43/1/599 91-163 Martin Wagner Phone: +43/1/599 91-155 e-mail: [email protected]

Institut für Höhere Studien (IHS), Wien Institute for Advanced Studies, Vienna

Page 4: Institut für Höhere Studien (IHS), Wien Institute for Advanced Studies, Vienna · 2017. 5. 5. · Bierens' and Johansen's Method – Complements or Substitutes? Martin Wagner Reihe

The Institute for Advanced Studies in Vienna is an independent center of postgraduate training and research in the social sciences. The Economics Series presents research carried out at the Department of Economics and Finance of the Institute. Department members, guests, visitors, and other researchers are invited to submit manuscripts for possible inclusion in the series. The submissions are subjected to an internal refereeing process.

Editorial Board Editor: Robert M. Kunst (Econometrics) Associate Editors: Walter Fisher (Macroeconomics) Klaus Ritzberger (Microeconomics)

Page 5: Institut für Höhere Studien (IHS), Wien Institute for Advanced Studies, Vienna · 2017. 5. 5. · Bierens' and Johansen's Method – Complements or Substitutes? Martin Wagner Reihe

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.

Keywords Cointegration, Johansen procedure, Bierens method, robustness, simulation, Hausdorff

distance

JEL Classifications C13, C15, C32

Page 6: Institut für Höhere Studien (IHS), Wien Institute for Advanced Studies, Vienna · 2017. 5. 5. · Bierens' and Johansen's Method – Complements or Substitutes? Martin Wagner Reihe

Comments The author thanks H. Bierens and R. Kunst for helpful remarks and comments.

Page 7: Institut für Höhere Studien (IHS), Wien Institute for Advanced Studies, Vienna · 2017. 5. 5. · Bierens' and Johansen's Method – Complements or Substitutes? Martin Wagner Reihe

Contents

I. Kapitel 1 #

2. Kapitel 2 # 2.1. Abschnitt 2.1 #

2.1.1. Sub-Abschnitt 2.1.1 #

2.1.2. Sub-Abschnitt 2.1.2 #

2.2. Abschnitt 2.2 #

3. Kapitel 3 # 3.1. Abschnitt 3.1 #

4. usw. # 4.1. usw. #

5. usw. # 5.1. usw. #

6. usw. # 6.1. usw. #

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Page 14: Institut für Höhere Studien (IHS), Wien Institute for Advanced Studies, Vienna · 2017. 5. 5. · Bierens' and Johansen's Method – Complements or Substitutes? Martin Wagner Reihe

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Page 18: Institut für Höhere Studien (IHS), Wien Institute for Advanced Studies, Vienna · 2017. 5. 5. · Bierens' and Johansen's Method – Complements or Substitutes? Martin Wagner Reihe

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Page 19: Institut für Höhere Studien (IHS), Wien Institute for Advanced Studies, Vienna · 2017. 5. 5. · Bierens' and Johansen's Method – Complements or Substitutes? Martin Wagner Reihe

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Page 27: Institut für Höhere Studien (IHS), Wien Institute for Advanced Studies, Vienna · 2017. 5. 5. · Bierens' and Johansen's Method – Complements or Substitutes? Martin Wagner Reihe

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Page 28: Institut für Höhere Studien (IHS), Wien Institute for Advanced Studies, Vienna · 2017. 5. 5. · Bierens' and Johansen's Method – Complements or Substitutes? Martin Wagner Reihe

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Page 29: Institut für Höhere Studien (IHS), Wien Institute for Advanced Studies, Vienna · 2017. 5. 5. · Bierens' and Johansen's Method – Complements or Substitutes? Martin Wagner Reihe

beta1‘ * Zk(t)

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Page 32: Institut für Höhere Studien (IHS), Wien Institute for Advanced Studies, Vienna · 2017. 5. 5. · Bierens' and Johansen's Method – Complements or Substitutes? Martin Wagner Reihe

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Page 33: Institut für Höhere Studien (IHS), Wien Institute for Advanced Studies, Vienna · 2017. 5. 5. · Bierens' and Johansen's Method – Complements or Substitutes? Martin Wagner Reihe

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