The role of the constant and linear terms in cointegration analysis of nonstationary variables

DOI10.1080/07474939408800284MaRDI QIDQ4853080zbMATH OpenOpenAlexFDO

Authors Søren Johansen

Publication date 25 October 1995

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474939408800284

zbMATH Keywords

autoregressive modelcointegrationconstant termI(1) variablesI(2) variableslinear termslinear trendquadratic trendreduced rank regression

Mathematics Subject Classification ID

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

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Cites work

• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Nested Reduced-Rank Autogressive Models for Multiple Time Series
• Statistical analysis of cointegration vectors
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK

Cited in

(29)

• Natural rate doubts
• Trend stationarity in the \(I(2)\) cointegration model.
• Outlier robust analysis of long-run marketing effects for weekly scanning data
• The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
• Nonparametric cointegration analysis
• Impulse response functions for periodic integration
• Structural analysis of vector error correction models with exogenous \(I(1)\) variables
• The cointegrated vector autoregressive model with general deterministic terms
• Semi-nonparametric cointegration testing
• Nonparametric tests for unit roots and cointegration.
• Testing for the cointegrating rank of a VAR process with a time trend
• Estimation of continuous and discrete time co-integrated systems with stock and flow variables
• Testing the co-integrationg rank with the likelihood ratio test under dependent errors assumption
• Econometric analysis of linearized singular dynamic stochastic general equilibrium models
• Local power of likelihood-based tests for cointegrating rank: comparative analysis of full and partial systems
• Non-parametric testing for seasonally and periodically integrated processes
• The transmission of shocks between Europe, Japan and the United States
• A REVIEW OF SYSTEMS COINTEGRATION TESTS
• International cause-specific mortality rates: new insights from a cointegration analysis
• On trends and constants in periodic autoregressions
• Comparison of procedures for fitting the autoregressive order of a vector error correction model
• A cointegration analysis of crime, economic activity, and police performance in São Paulo city
• On the role of the constant term in linear regression
• A general inversion theorem for cointegration
• Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming
• Johansen‐type cointegration tests with a Fourier function
• Johansen test with Fourier-type smooth nonlinear trends in cointegrating relations
• A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables
• Joint detection of unit roots and cointegration: data-based simulation

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