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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• 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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• Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
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• Normalization in Econometrics
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• Granger causality, exogeneity, cointegration, and economic policy analysis
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• Canonical Cointegrating Regressions
• Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling
• LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test
• ON THE IDENTIFICATION AND ESTIMATION OF NONSTATIONARY AND COINTEGRATED ARMAX SYSTEMS
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