The purpose of this paper is to give a systematic account of the maximum likelihood inference concerning cointegration … vectors in non-stationary vector value autoregressive time series with Gaussian errors. The hypothesis of r cointegration … vectors is given a simple parametric formulation in terms of cointegration vectors and their weights. We then estimate and …

This paper performs a system cointegration analysis of UK money demand based on real money, real income, the …

This paper gives a systematic application of maximum likelihood inference concerning cointegration vectors in non … dummies. The hypothesis of cointegration is given a simple parametric form in terms of cointegration vectors and their weights … related to the weights. Tests for the presence of cointegration vectors, both with and without a linear trend in the non …

(CVAR) with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model … correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the … hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the infinite …

limiting distribution of the likelihood ratio statistic for the cointegration ranks, extending the result for I(2) models with …) where asymptotic inference is discussed in detail for one of the cointegration parameters. To illustrate, an empirical …