Søren Johansen
- 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 ...
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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 vectors and adjustment coefficients. A discussion of linear hypotheses on the cointegrating relations and the identification problem is given. We also discuss hypotheses on the adjustment coefficients and discuss the hypothesis of Granger non‐causality. The deterministic terms give rise to a number of models describing different properties of the process.Less
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 vectors and adjustment coefficients. A discussion of linear hypotheses on the cointegrating relations and the identification problem is given. We also discuss hypotheses on the adjustment coefficients and discuss the hypothesis of Granger non‐causality. The deterministic terms give rise to a number of models describing different properties of the process.
Søren Johansen
- Published in print:
- 1995
- Published Online:
- November 2003
- ISBN:
- 9780198774501
- eISBN:
- 9780191596476
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198774508.003.0011
- Subject:
- Economics and Finance, Econometrics
The asymptotic distribution of the likelihood ratio test for cointegrating rank is given. The limit distribution depends on the model for the deterministic terms, and we give the different formulae ...
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The asymptotic distribution of the likelihood ratio test for cointegrating rank is given. The limit distribution depends on the model for the deterministic terms, and we give the different formulae that can be obtained for a constant and a linear term in the equation under various restrictions. The limit distribution is a multivariate version of the Dickey–Fuller test, which is tabulated by simulation.Less
The asymptotic distribution of the likelihood ratio test for cointegrating rank is given. The limit distribution depends on the model for the deterministic terms, and we give the different formulae that can be obtained for a constant and a linear term in the equation under various restrictions. The limit distribution is a multivariate version of the Dickey–Fuller test, which is tabulated by simulation.
Søren Johansen
- Published in print:
- 1995
- Published Online:
- November 2003
- ISBN:
- 9780198774501
- eISBN:
- 9780191596476
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198774508.003.0006
- Subject:
- Economics and Finance, Econometrics
Contains the likelihood analysis of the I(1) models. The main result is the derivation of the method of reduced rank regression because of Anderson. This solves the estimation problem for the ...
More
Contains the likelihood analysis of the I(1) models. The main result is the derivation of the method of reduced rank regression because of Anderson. This solves the estimation problem for the unrestricted cointegration vectors, and hence the problem of deriving a test for cointegrating rank, the so‐called trace test. The reduced rank algorithm is applied to a number of different models defined by restrictions on the deterministic terms.Less
Contains the likelihood analysis of the I(1) models. The main result is the derivation of the method of reduced rank regression because of Anderson. This solves the estimation problem for the unrestricted cointegration vectors, and hence the problem of deriving a test for cointegrating rank, the so‐called trace test. The reduced rank algorithm is applied to a number of different models defined by restrictions on the deterministic terms.
