Statistical analysis of cointegration vectors

DOI10.1016/0165-1889(88)90041-3zbMATH Open0647.62102OpenAlexW2153562738MaRDI QIDQ1104685FDOQ1104685

Authors: Søren Johansen 

Publication date: 1988

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(88)90041-3

Recommendations

• Cointegration: Overview and Development
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Canonical Cointegrating Regressions

zbMATH Keywords

likelihood ratio testchi-square testmaximum likelihood estimatorGaussian errorslinear hypothesescointegration vectorsnonstationary vector autoregressive process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

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Cited In (only showing first 100 items - show all)

• Cointegration in large VARs
• Exact maximum likelihood estimation of partially nonstationary vector ARMA models
• GSA-based maximum likelihood estimation for threshold vector error correction model
• The efficiency of financial futures markets: tests of prediction accuracy.
• Analysis of cointegrated VARMA processes
• Common nonstationary components of asset prices
• Detection and attribution of climate change through econometric methods
• Some Results on Cointegration with Random Coefficients in the Error Correction Form: Estimation and Testing
• Maximum likelihood estimators in regression models with infinite variance innovations
• Numerically stable cointegration analysis
• Seasonal cointegration and cross-equation restrictions on a forward-looking buffer stock model of money demand.
• VARMAX-modelling of blast furnace process variables
• Efficiency of the Turkish stock exchange with respect to monetary variables: A cointegration analysis
• Real exchange rates under the recent float: Unequivocal evidence of mean reversion
• The impact of structural breaks on the integration of the ASEAN-5 stock markets
• Testing cointegrating coefficients in vector autoregressive error correction models
• Estimating unknown join points: Determination of the yen-dollar exchange rate
• Fundamentals and bubbles in asset prices: Evidence from U.S. and Japanese asset prices
• Fiscal policy in good and bad times
• The impact of information timeliness on the predictability of stock and futures returns: An application of vector models
• Submodel estimation of a structural vector error correction model under cointegration
• A small sample correction for tests of hypotheses on the cointegrating vectors
• Are saving and investment cointegrated? An ARDL bounds testing approach.
• Weak separability of non-tradables from consumer good imports: A simple test with evidence from Bangladesh
• Testing misspecified cointegrating relationships
• Asymmetric price adjustment and price discovery in spot and futures markets of agricultural commodities
• Analysis of cointegration vectors using the GMM approach
• Low-pass filtered least squares estimators of cointegrating vectors
• System estimators of cointegrating matrix in absence of normalising information
• Testing the null of stationarity for multiple time series
• Comparison of Box-Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models
• Multiple unit roots in periodic autoregression
• Natural rate doubts
• A test for fractional cointegration using the sieve bootstrap
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• Method of cointegration and exchange rates
• Bootstrap and fast double bootstrap tests of cointegration rank with financial time series
• Cotrending and the stationarity of the real interest rate
• Methods of analyzing nonstationary time series with implicit changes in their properties
• Small sample testing for cointegration using the bootstrap approach
• The transmission of shocks between Europe, Japan and the United States
• A simple message for autocorrelation correctors: Don't
• A Wald test of restrictions on the cointegrating space based on Johansen's estimator
• Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function
• Exports and economic growth: Evidence from 19th Century Europe
• Bootstrap cointegration rank testing: the role of deterministic variables and initial values in the bootstrap recursion
• Estimation of simultaneous equation models with stochastic trend components
• Structural breaks, tourism development, and economic growth: Evidence from Taiwan
• Econometric decision models. Proceedings of the 2nd International Conference held in Haus Nordhelle, Meinerzhagen, Nordrhein-Westfalen, Germany, August 29--September 1, 1989
• Test for cointegration based on two-stage least squares
• TESTING THE NULL OF NO COINTEGRATION WHEN COVARIATES ARE KNOWN TO HAVE A UNIT ROOT
• Booststrapped johansen tests for cointegration relationships: a graphical analysis
• Lag‐augmented two‐ and three‐stage least squares estimators for integrated structural dynamic models
• Price flexibility in channels of distribution: Eevidence from scanner data.
• Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes
• Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Testing the nominal-to-real transformation
• Testing for the cointegration rank when some cointegrating directions are changing
• Testing for cointegration using partially linear models
• Cointegration in partial systems and the efficiency of single-equation analysis
• Testing for an unstable root in conditional and structural error correction models
• VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
• Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments.
• Testing for the Null Hypothesis of Cointegration with a Structural Break
• LONG-RUN STRUCTURAL MODELLING
• The role of the constant and linear terms in cointegration analysis of nonstationary variables
• UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
• Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
• Bootstrapping cointegrating regressions
• Bootstrap tests for time varying cointegration
• Determination of vector error correction models in high dimensions
• Nonlinear joint dynamics between prices of crude oil and refined products
• Automated estimation of vector error correction models
• Econometric analysis of linearized singular dynamic stochastic general equilibrium models
• Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity
• Patenting, intellectual property rights and sectoral outputs in Industrial Revolution Britain, 1780--1851
• Evaluating latent and observed factors in macroeconomics and finance
• Vector autoregression and causality: a theoretical overview and simulation study
• Bootstrapping time series models
• Testing for co-integration in vector autoregressions with non-stationary volatility
• Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
• Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
• A cointegration approach to estimating preference parameters
• Inference in possibly integrated vector autoregressive models: Some finite sample evidence
• Statistical inference on cointegration rank in error correction models with stationary covariates
• Tests of cointegrating rank with trend-break
• Trend stationarity in the \(I(2)\) cointegration model.
• Polynomial cointegration. Estimation and test
• Diagnostic testing for cointegration
• A long-run pure variance common features model for the common volatilities of the Dow Jones
• Testing for short- and long-run causality: a frequency-domain approach
• Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process
• Robustifying forecasts from equilibrium-correction systems
• Statistical inference in vector autoregressions with possibly integrated processes
• Nonparametric cointegration analysis
• Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley)
• Impulse response and forecast error variance asymptotics in nonstationary VARs
• Stability tests in error correction models

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