Brooks 2002 Introductory Econometrics for Finance 计量经济学.pptVIP

‘Introductory Econometrics for Finance’ ? Chris Brooks 2002 * Cointegration Tests using Johansen: Three Examples Example 1: Hamilton(1994, pp.647 ) Does the PPP relationship hold for the US / Italian exchange rate - price system? ? A VAR was estimated with 12 lags on 189 observations. The Johansen test statistics were ? r ?max critical value 0 22.12 20.8 1 10.19 14.0 ? Conclusion: there is one cointegrating relationship. ‘Introductory Econometrics for Finance’ ? Chris Brooks 2002 * Example 2: Purchasing Power Parity (PPP) PPP states that the equilibrium exchange rate betw