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A representation theory for a class of vector autoregressive models for fractional processes
Johansen, Søren - In: Econometric theory 24 (2008) 3, pp. 651-676
Persistent link: https://www.econbiz.de/10003894279
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A necessary moment condition for the fractional functional central limit theorem
Johansen, Søren; Ørregaard Nielsen, Morten - In: Econometric theory 28 (2012) 3, pp. 671-679
Persistent link: https://www.econbiz.de/10009545803
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Minimum distance estimation of nonstationary time series models
Moon, Hyungsik Roger; Schorfheide, Frank - In: Econometric theory 18 (2002) 6, pp. 1385-1407
Persistent link: https://www.econbiz.de/10001716909
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Estimation of autoregressive roots near unity using panel data
Moon, Hyungsik Roger; Phillips, Peter C. B. - In: Econometric theory 16 (2000) 6, pp. 927-997
Persistent link: https://www.econbiz.de/10001548351
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How to estimate autoregressive roots near unity
Phillips, Peter C. B.; Moon, Hyungsik Roger; Xiao, Zhijie - In: Econometric theory 17 (2001) 1, pp. 29-69
Persistent link: https://www.econbiz.de/10001556057
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A statistical analysis of cointegration for I(2) variables
Johansen, Søren - In: Econometric theory 11 (1995) 1, pp. 25-59
Persistent link: https://www.econbiz.de/10001176355
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A representation of vector autoregressive processes integrated of order 2
Johansen, Søren - In: Econometric theory 8 (1992) 2, pp. 188-202
Persistent link: https://www.econbiz.de/10001128737