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...ntegration among the real effective exchangesrate, the differential productivity, the real oil price and government spending using the Johansenscointegration test. However, many authors (for instance =-=Gonzalo, 1994-=-) indicate that thesJohansen approach may be sensitive to the choice of the lag length. In this context, we use thesAIC procedure to choose the number of lags (4).sAnother important shortcoming with t...

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...erally divided between the government, andsSonatrach and its subsidiaries. On average, two-third of export receipts accrue to the treasury,s2sThis phenomenon is commonly referred to as Dutch disease (=-=Corden, 1984-=-).s3sSonatrach’s activities include petroleum exploration, oil and gas production and marketing, and pipelinestransportation. Algeria’s exchange rate regime is a managed float with no pre-announced pa...

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... lag length. In this context, we use thesAIC procedure to choose the number of lags (4).sAnother important shortcoming with the Johansen approach is the bias associated with the use ofssmall samples (=-=Johansen, 2002-=-). Many studies reveal that in small samples, the Johansensapproach fails to reject the null hypothesis of noncointegration even if there is no cointegrationsvector. One way of addressing the bias is ...