Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

DOI10.2307/2938278zbMath0755.62087OpenAlexW2034707435MaRDI QIDQ5966603

Søren Glud Johansen

Publication date: 28 June 1992

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/012f7d74a24ba58e0d965295e4a2eea4dc33531f

zbMATH Keywords

VAR modelGaussian vector autoregressive modelsmean driftseasonal dummy variablesnonparametric spectral regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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