<section name="raw">
    <SEQUENTIAL>
      <record key="001" att1="001" value="175251" att2="175251">001   175251</record>
      <field key="037" subkey="x">englisch</field>
      <field key="050" subkey="x">Open Access</field>
      <field key="076" subkey="">Ökonomie</field>
      <field key="079" subkey="y">http://www.ihs.ac.at/publications/lib/oa10.pdf</field>
      <field key="079" subkey="z">Wagner, Martin, A Comparison of Johansen's, Bierens' and the Subspace Algorithm Method for Cointegration Analysis (pdf)</field>
      <field key="100" subkey="">Wagner, Martin</field>
      <field key="103" subkey="">Department of Economics, University of Bern</field>
      <field key="331" subkey="">A Comparison of Johansen's, Bierens' and the Subspace Algorithm Method for Cointegration Analysis</field>
      <field key="403" subkey="">1. Ed.</field>
      <field key="410" subkey="">Bern, Switzerland</field>
      <field key="412" subkey="">Volkswirtschaftliches Institut, Universität Bern</field>
      <field key="425" subkey="">2002, October</field>
      <field key="433" subkey="">37 pp.</field>
      <field key="451" subkey="">Diskussionsschriften; 02-10</field>
      <field key="451" subkey="i">Volkswirtschaftliches Institut, Universität Bern (Ed.)</field>
      <field key="544" subkey="">OA10</field>
      <field key="700" subkey="">C13</field>
      <field key="700" subkey="">C15</field>
      <field key="700" subkey="">C32</field>
      <field key="700" subkey="">E20</field>
      <field key="720" subkey="">Cointegration</field>
      <field key="720" subkey="">State Space Models</field>
      <field key="720" subkey="">Subspace Algorithms</field>
      <field key="720" subkey="">Simulation</field>
      <field key="720" subkey="">Neoclassical Growth Model</field>
      <field key="753" subkey="">Abstract: The methods listed in the title are compared by means of a simulation study and a real world application. The aspects</field>
      <field key="com" subkey="p">ared in the simulations are: The performance of the tests of the different methods for the dimension of the cointegrating</field>
      <field key="spa" subkey="c">e and the quality of the estimated cointegrating space. It turns out that the subspace algorithm method, formulated in the</field>
      <field key="sta" subkey="t">e space framework and thus applicable for ARMA processes, performs at least comparable to the Johansen procedure and both</field>
      <field key="per" subkey="f">orm significantly better than Bierens’ method. The real world application is an investigation of the long-run properties of</field>
      <field key="the" subkey="">neoclassical growth model for Austria. It turns out that the results do not fully support the theoretical predictions and</field>
      <field key="tha" subkey="t">they are very versatile across the employed methods. The degree of versatility depends strongly upon the number of variables</field>
      <field key=". F" subkey="o">r the case of 6 variables and about 100 observations huge differences occur, which lead us to conclude that the results of</field>
      <field key="thi" subkey="s">typical situation in the applied literature should be interpreted with more caution than is commonly done.;</field>
    </SEQUENTIAL>
  </section>