Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
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Published By Oxford University Press

9780198774501

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Asymptotic Properties of the Estimators

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models ◽

10.1093/0198774508.003.0013 ◽

1995 ◽

pp. 177-200

Author(s):

Søren Johansen

Keyword(s):

Asymptotic Properties

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The I(2) Model and a Test for I(2)

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models ◽

10.1093/0198774508.003.0009 ◽

1995 ◽

pp. 132-138

Author(s):

Søren Johansen

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Hypothesis Testing for the Long‐Run Coefficients β

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models ◽

10.1093/0198774508.003.0007 ◽

1995 ◽

pp. 104-120

Author(s):

Søren Johansen

Keyword(s):

Hypothesis Testing ◽

Long Run

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The Power Function of the Test for Cointegrating Rank Under Local Alternatives

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models ◽

10.1093/0198774508.003.0014 ◽

1995 ◽

pp. 201-210

Author(s):

Søren Johansen

Keyword(s):

Power Function ◽

Local Alternatives

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The Asymptotic Distribution of the Test for Cointegrating Rank

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models ◽

10.1093/0198774508.003.0011 ◽

1995 ◽

pp. 151-166

Author(s):

Søren Johansen

Keyword(s):

Asymptotic Distribution

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Simulations and Tables

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models ◽

10.1093/0198774508.003.0015 ◽

1995 ◽

pp. 211-218

Author(s):

Søren Johansen

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Determination of Cointegrating Rank

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models ◽

10.1093/0198774508.003.0012 ◽

1995 ◽

pp. 167-176 ◽

Cited By ~ 3

Author(s):

Søren Johansen

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The I(1) Models and Their Interpretation

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models ◽

10.1093/0198774508.003.0005 ◽

1995 ◽

pp. 70-88 ◽

Cited By ~ 1

Author(s):

Søren Johansen

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Cointegration and Representation of Integrated Variables

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models ◽

10.1093/0198774508.003.0004 ◽

1995 ◽

pp. 45-69

Author(s):

Søren Johansen

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Basic Definitions and Concepts

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models ◽

10.1093/0198774508.003.0003 ◽

1995 ◽

pp. 34-44 ◽

Cited By ~ 1

Author(s):

Søren Johansen

Download Full-text

Likelihood-Based Inference in Cointegrated Vector Autoregressive ModelsLatest Publications

TOTAL DOCUMENTS

H-INDEX

Published By Oxford University Press

Asymptotic Properties of the Estimators

The I(2) Model and a Test for I(2)

Hypothesis Testing for the Long‐Run Coefficients β

The Power Function of the Test for Cointegrating Rank Under Local Alternatives

The Asymptotic Distribution of the Test for Cointegrating Rank

Simulations and Tables

Determination of Cointegrating Rank

The I(1) Models and Their Interpretation

Cointegration and Representation of Integrated Variables

Basic Definitions and Concepts

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
Latest Publications