Estimating systems of trending variables

DOI10.1080/07474939408800293MaRDI QIDQ4853084zbMATH OpenOpenAlexFDO

Authors Søren Johansen

Publication date 24 January 1996

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474939408800293

zbMATH Keywords

asymptotic inferencecointegrationintegrated time serieslikelihood inferencepartial modelsreduced rank regressionregression methodssurveytrending variablesvector autoregressive model

Mathematics Subject Classification ID

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

Recommendations

• Estimation of Cointegrated Systems with I(2) Processes
• Cointegration: Overview and Development
• Cointegration in fractional systems with deterministic trends
• A Stastistical Analysis of Cointegration for I(2) Variables
• On the determination of integration indices in I(2) systems

Cites work

• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• Canonical Cointegrating Regressions
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Cointegration in partial systems and the efficiency of single-equation analysis
• 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
• scientific article; zbMATH DE number 88842 (Why is no real title available?)
• Inference in Linear Time Series Models with some Unit Roots
• Nested Reduced-Rank Autogressive Models for Multiple Time Series
• NON‐NEGATIVE AUTOREGRESSIVE MODELS
• Optimal Inference in Cointegrated Systems
• Statistical analysis of cointegration vectors
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Testing for Common Trends
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
• Vector linear time series models

Cited in

(7)

• Optimal estimation of cointegrated systems with irrelevant instruments
• Optimal Inference in Cointegrated Systems
• A Stastistical Analysis of Cointegration for I(2) Variables
• ESTIMATION OF COINTEGRATING VECTORS WITH TIME SERIES MEASURED AT DIFFERENT PERIODICITY
• scientific article; zbMATH DE number 65824 (Why is no real title available?)
• COINTEGRATION AND COMMON FACTORS
• The role of the constant and linear terms in cointegration analysis of nonstationary variables

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