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Likelihood inference for a fractionally cointegrated vector autoregressive model
Johansen, Søren; Nielsen, Morten Ørregaard - In: Econometrica : journal of the Econometric Society, an … 80 (2012) 6, pp. 2667-2732
Persistent link: https://www.econbiz.de/10009689454
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Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
Johansen, Søren; Nielsen, Morten Ørregaard - In: Econometrica : journal of the Econometric Society, an … 80 (2012) 6, pp. 2667-2732
Persistent link: https://www.econbiz.de/10010046688
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Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models
Johansen, Søren - In: Econometrica : journal of the Econometric Society, an … 59 (1991) 6, pp. 1551-1580
Persistent link: https://www.econbiz.de/10001115941
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A small sample correction for the test of cointegrating rank in the vector autoregressive model
Johansen, Søren - In: Econometrica : journal of the Econometric Society, an … 70 (2002) 5, pp. 1929-1961
Persistent link: https://www.econbiz.de/10001702250
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A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
Johansen, Søren - In: Econometrica : journal of the Econometric Society, an … 70 (2002) 5, pp. 1929-1962
Persistent link: https://www.econbiz.de/10006766584
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Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis
Jansson, Michael; Nielsen, Morten Ørregaard - In: Econometrica : journal of the Econometric Society, an … 80 (2012) 5, pp. 2321-2333
Persistent link: https://www.econbiz.de/10010023940