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

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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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• Granger's representation theorem: A closed‐form expression for I(1) processes
• Testing the Cointegrating Rank with Uncorrelated but Dependent Errors
• Econometric inflation targeting
• Cointegration analysis using \(M\) estimators.
• A likelihood based estimator for vector autoregressive processes
• Impulse response analysis of cointegrated systems
• Tests against stationary and explosive alternatives in vector autoregressive models
• Estimation of partially nonstationary vector autoregressive models with seasonal behavior
• Maximum likelihood inference on cointegration and seasonal cointegration
• Finding the optimal pre-set boundaries for pairs trading strategy based on cointegration technique
• A multivariate approach to modeling univariate seasonal time series
• The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
• Dynamic modeling of mean-reverting spreads for statistical arbitrage
• A Review of Nonparametric Time Series Analysis
• Representations of \(I(2)\) cointegrated systems using the Smith-McMillan form
• On the non-existence of a Bartlett correction for unit root tests
• Long-run exclusion and the determination of cointegrating rank: Monte Carlo evidence
• ESTIMATION AND INFERENCE ON LONG-RUN EQUILIBRIA: A SIMULATION STUDY
• Distributions of error correction tests for cointegration
• THE RANK OF A SUBMATRIX OF COINTEGRATION
• Statistical inference in regression with heavy-tailed integrated variables
• Panel Data Analysis
• Cointegration rank tests based on vector autoregressive approximations under alternative hypotheses
• Semiparametric cointegrating rank selection
• Regularized estimation and testing for high-dimensional multi-block vector-autoregressive models
• Bayesian analysis of structural credit risk models with microstructure noises
• A multivariate long-memory model with structural breaks
• Estimation of cointegrated models with exogenous variables
• Tests for cointegration with infinite variance errors
• Comparison of procedures for fitting the autoregressive order of a vector error correction model
• The relationship between budgetary expenditure and economic growth in Poland
• Extracting a common stochastic trend: theory with some applications
• A REVIEW OF SYSTEMS COINTEGRATION TESTS
• Inflationary expectations and rationality revisited
• Fixed bandwidth inference for fractional cointegration
• DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION
• Testing the term structure of interest rates using a stationary vector autoregression with regime switching
• Common singular spectrum analysis of several time series
• The influence of heteroskedastic variances on cointegration tests: a comparison using Monte Carlo simulations
• Test for partial parameter instability in regressions with \(I(1)\) processes
• A comparison of autoregressive distributed lag and dynamic OLS cointegration estimators in the case of a serially correlated cointegration error
• Comparisons of tests for multivariate cointegration
• Encompassing univariate models in multivariate time series. A case study
• Applications of higher-order optimal Newton secant iterative methods in ocean acidification and investigation of long-run implications of \(CO_{2}\) emissions on alkalinity of seawater
• Improved likelihood ratio tests for cointegration rank in the VAR model
• Testing for unit roots with stationary covariates
• Estimating smooth structural change in cointegration models
• Identification of the long-run and the short-run structure. An application to the ISLM model
• Demand shocks and trade balance dynamics
• The short-run and long-run behaviour of personal consumption in Croatia
• Cointegrating rank selection in models with time-varying variance
• Testing the term structure of interest rates using a stationary vector autoregression with regime switching
• A multivariate time series approach to projected life tables
• PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
• An alternative approach to monetary aggregation in DEA
• Inflation, exchange rates and PPP in a multivariate panel cointegration model
• The power of bootstrap based tests for parameters in cointegrating regressions
• Identification and inference for multivariate cointegrated and ergodic Gaussian diffusions
• Pushing the limit? Fiscal policy in the European Monetary Union
• Identifying, estimating and testing restricted cointegrated systems: An overview
• Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
• Long-memory exchange rate dynamics in the Euro era
• Price discovery in the U.S. stock and stock options markets: a portfolio approach
• Adaptive estimation of cointegrating regressions with ARMA errors
• The long-run determinants of fertility: one century of demographic change 1900--1999
• A Parametric approach to the Estimation of Cointegration Vectors in Panel Data
• Testing for the cointegrating rank of a VAR process with a time trend
• A simple solution for spurious regressions
• Fully modified estimation of seasonally cointegrated processes
• Bayesian model averaging in the instrumental variable regression model
• Model selection criteria for the leads-and-lags cointegrating regression
• 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

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