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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


The Asymptotic Distribution of the Test for Cointegrating Rank

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:
10.1093/0198774508.003.0011
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 ... More


The Statistical Analysis of I (1) Models

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:
10.1093/0198774508.003.0006
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


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