Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function

DOI10.1016/0304-4076(92)90016-KzbMath0751.62052MaRDI QIDQ1193514

David N. DeJong

Publication date: 27 September 1992

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

likelihood functionmacroeconomic time seriesco-integration inferenceintegration inferencetrend-stationary alternatives

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Economic time series analysis (91B84)

Related Items

A numerical Bayesian test for cointegration of AR processes ⋮ Papers with John ⋮ On the Transmission of Memory in Garch‐in‐Mean Models ⋮ Asset prices with non-permanent shocks to consumption ⋮ Testing of unit root and other nonstationary hypotheses in macroeconomic time series ⋮ Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space ⋮ Cointegration: Bayesian Significance Test ⋮ Monte Carlo inference in econometric models with symmetric stable disturbances ⋮ Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration

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