Interpreting cointegrating vectors and common stochastic trends

DOI10.1016/0304-4076(95)01746-1zbMATH Open0864.62086OpenAlexW2059758449MaRDI QIDQ2565040FDOQ2565040

Authors: Michael Wickens 

Publication date: 22 June 1997

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

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01746-1

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• Statistical analysis of cointegration vectors
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zbMATH Keywords

identificationmaximum likelihood estimationnonstationaritycointegrationcommon stochastic trendsVAR analysisunrestricted vector correction models

Mathematics Subject Classification ID

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

Cites Work

• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Statistical analysis of cointegration vectors
• Cointegration in partial systems and the efficiency of single-equation analysis
• Estimating Long-Run Economic Equilibria
• Optimal Inference in Cointegrated Systems
• Fully Modified Least Squares and Vector Autoregression
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
• Exogeneity
• Testing for Common Trends
• Title not available (Why is that?)
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• On the interactions of unit roots and exogeneity

Cited In (7)

• Some identification problems in the cointegrated vector autoregressive model
• Testing the long-run structural validity of the monetary exchange rate model
• The selection of zero-non-zero patterned cointegrating vectors in error-correction modelling
• COINTEGRATION AND COMMON FACTORS
• Disaggregate stochastic trends in industrial production
• AN ANALYSIS OF ASIAN MARKET INTEGRATION PRE- AND POST-CRISIS
• ON THE IDENTIFICATION AND ESTIMATION OF NONSTATIONARY AND COINTEGRATED ARMAX SYSTEMS

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