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)

Cites Work

• Distribution of eigenvalues in multivariate statistical analysis
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Multiple Time Series Regression with Integrated Processes
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• Title not available (Why is that?)
• Asymptotic Properties of Residual Based Tests for Cointegration
• Time Series Regression with a Unit Root
• Title not available (Why is that?)
• Testing for Common Trends
• Understanding spurious regressions in econometrics
• Title not available (Why is that?)
• Reduced rank models for multiple time series
• Testing for cointegration using principal components methods
• The theory of least squares when the parameters are stochastic and its application to the analysis of growth curves
• Title not available (Why is that?)
• Functional relations, random coefficients, and nonlinear regression with application to kinetic data

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
• Title not available (Why is that?)
• 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
• 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
• Title not available (Why is that?)
• 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.

This page was built for publication: Statistical analysis of cointegration vectors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1104685)