Interpreting cointegrating vectors and common stochastic trends

DOI10.1016/0304-4076(95)01746-1MaRDI QIDQ2565040zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Statistical analysis of cointegration vectors
• Testing for Common Trends
• COINTEGRATION AND COMMON FACTORS
• Cointegration: Overview and Development

Cites work

• scientific article; zbMATH DE number 88842 (Why is no real title available?)
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Cointegration in partial systems and the efficiency of single-equation analysis
• Estimating Long-Run Economic Equilibria
• Exogeneity
• Fully Modified Least Squares and Vector Autoregression
• On the interactions of unit roots and exogeneity
• Optimal Inference in Cointegrated Systems
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Statistical analysis of cointegration vectors
• Testing for Common Trends
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK

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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