Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

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ID: 289545
1995
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Abstract
Abstract This monograph is concerned with the statistical analysis of multivariate systems of non‐stationary time series of type I(1). It applies the concepts of cointegration and common trends in the framework of the Gaussian vector autoregressive model. The main result on the structure of cointegrated processes as defined by the error correction model is Grangers representation theorem. The statistical results include derivation of the trace test for cointegrating rank, test on cointegrating relations, and test on adjustment coefficients and their asymptotic distributions.
Reference Key
openalex_W4230206799 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Søren Johansen
Journal Oxford University Press eBooks
Year 1995
DOI
10.1093/0198774508.001.0001
URL
https://doi.org/10.1093/0198774508.001.0001
Keywords Keywords not found

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