The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model

DOI10.1111/J.1467-9892.2003.00328.XMaRDI QIDQ4828162zbMATH OpenOpenAlexFDO

Authors Søren Johansen

Publication date 24 November 2004

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/1814/755

zbMATH Keywords

asymptotic distributioneigenvalueautoregressive processerror correction model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cites work

• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Cited in

(6)

• ASYMPTOTIC INFERENCE ON THE MOVING AVERAGE IMPACT MATRIX IN COINTEGRATED I (2) VAR SYSTEMS
• Exact maximum likelihood estimation of partially nonstationary vector ARMA models
• Inference on the Cointegration Rank and a Procedure for VARMA Root-Modification
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS
• Unit roots in white noise

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