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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Søren Johansen

Published in print:
1995
Published Online:
November 2003
ISBN:
9780198774501
eISBN:
9780191596476
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/0198774508.001.0001
Subject:
Economics and Finance, Econometrics

This monograph is concerned with the statistical analysis of multivariate systems of non‐stationary time series of type I(1). It applies the concepts of cointegration and common trends in the ... More


The I(1) Models and Their Interpretation

Søren Johansen

in Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Published in print:
1995
Published Online:
November 2003
ISBN:
9780198774501
eISBN:
9780191596476
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198774508.003.0005
Subject:
Economics and Finance, Econometrics

We define the basic reduced form error correction model for I(1)variables where cointegration is modelled in terms of a reduced rank hypothesis on the impact matrix. This defines the cointegrating ... More


Partial Systems and Hypotheses on α

Søren Johansen

in Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Published in print:
1995
Published Online:
November 2003
ISBN:
9780198774501
eISBN:
9780191596476
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198774508.003.0008
Subject:
Economics and Finance, Econometrics

We discuss briefly partial systems, i.e. systems which are formulated as conditional models of some variables, the endogenous, given others, the exogenous. Such models are discussed in the framework ... More


Asymptotic Properties of the Estimators

Søren Johansen

in Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Published in print:
1995
Published Online:
November 2003
ISBN:
9780198774501
eISBN:
9780191596476
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198774508.003.0013
Subject:
Economics and Finance, Econometrics

The asymptotic properties of the estimators for adjustment coefficients and cointegrating relations are derived under the assumption that they have been estimated unrestrictedly. We show that the ... More


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