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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• Cointegration: Overview and Development
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• 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)

• Tests for Long-Run Granger Non-Causality in Cointegrated Systems
• Cointegration tests with conditional heteroskedasticity.
• ADMISSIBLE AND NONADMISSIBLE TESTS IN UNIT-ROOT-LIKE SITUATIONS
• Cointegration: Overview and Development
• Mapping swap rate projections on bond yields considering cointegration: an example for the use of neural networks in stress testing exercises
• The impact of divorce precedents on the Japanese divorce rate
• The suitability of a monetary union in east Asia: what does the cointegration approach tell?
• Book review of: U. Hassler, Stochastische Integration und Zeitreihenmodellierung
• On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank
• New Simple Tests for Panel Cointegration
• A primer on real effective exchange rates: determinants, overvaluation, trade flows and competitive devaluation
• Long-run price elasticities and the Marshall-Lerner condition revisited
• ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS
• Testing for \(r\) versus \(r-1\) cointegrating vectors
• THE ET INTERVIEW: PROFESSOR DAVID F. HENDRY: Interviewed by Neil R. Ericsson
• Tests for cointegration. A Monte Carlo comparison
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• Structural vector autoregressive analysis for cointegrated variables
• Unit roots and cointegration modelling through a family of flexible information criteria
• A new approach to estimating value-income ratios with income growth and time-varying yields
• Cointegration Detection Using Dynamic Factor Models
• Recent Advances in Cointegration Analysis
• The Size and Power of Bootstrap and Bartlett-Corrected Tests of Hypotheses on the Cointegrating Vectors
• Granger-causality in cointegrated VAR processes. The case of the term structure
• Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period
• Cointegration and direct tests of the rational expectations hypothesis
• Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany
• Testing cointegration relationship in a semiparametric varying coefficient model
• THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION
• Joint detection of unit roots and cointegration: data-based simulation
• A hierarchical forecasting model for China's foreign trade
• Likelihood based testing for no fractional cointegration
• A control function approach for testing the usefulness of trending variables in forecast models and linear regression
• Nonlinear estimation using estimated cointegrating relations
• A systematic framework for analyzing the dynamic effects of permanent and transitory shocks.
• Nonlinear mean reversion in the term structure of interest rates
• Cointegrated processes with infinite variance innovations
• Heteroskedastic cointegration
• Testing for cointegration with temporally aggregated and mixed-frequency time series
• Five alternative methods of estimating long-run equilibrium relationships
• Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank
• Analytical evaluation of the power of tests for the absence of cointegration
• On the maximum likelihood cointegration procedure under a fractional equilibrium error
• The cointegrated vector autoregressive model with general deterministic terms
• An empirical study on the threshold cointegration of Chinese A and H cross-listed shares
• Time-varying cointegration
• Estimation bias and bias correction in reduced rank autoregressions
• Nonlinear minimization estimators in the presence of cointegrating relations.
• Cointegration and speed of convergence to equilibrium
• Normalising cointegrating relationships subject to long-run exclusion
• Small sample properties of tests of linear restrictions on cointegrating vectors and their weights
• Estimation of vector error correction models with mixed-frequency data
• Canonical correlation analysis for the vector AR(1) model with ARCH innovations
• A cointegration analysis of price transmission between ADRs and dually listed South Korean stocks
• Reduced-rank regression: a useful determinant identity
• Is Greater China a currency union?: A tale of the Chinese trio
• Interpreting cointegrating vectors and common stochastic trends
• Short- and long-run rolling causality techniques and optimal window-wise lag selection: an application to the export-led growth hypothesis
• Joint modeling of cointegration and conditional heteroscedasticity with applications
• Panel vector autoregression under cross-sectional dependence
• Cross-sectional correlation robust tests for panel cointegration
• A note on the critical values for the maximum likelihood (seasonal) cointegration tests
• Cointegration and the long-run forecast of exchange rates
• The dynamic effects of aggregate demand and supply disturbances: Another Look
• Linear aggregation in cointegrated systems
• The balance between size and power in Dickey-Fuller tests with data-dependent rules for the choice of truncation lag
• A comparison of Johansen and Phillips-Hansen cointegration tests of forward market efficiency
• New small sample estimators for cointegration regression: low-pass spectral filter method
• The length of the effect of aggregate advertising on aggregate consumption
• Persistence, cointegration, and aggregation. A disaggregated analysis of output fluctuations in the U.S. economy
• 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
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• 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

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