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The cointegrated vector autoregressive model with general deterministic terms
Johansen, Søren; Nielsen, Morten Ørregaard - 2016
In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive uni ed treatment of deterministic terms in the additive model Xt = γZt + Yt, where Zt belongs to a large class of...
Persistent link: https://www.econbiz.de/10011517008
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Likelihood inference for a fractionally conitegrated vector autoregressive model
Johansen, Søren; Nielsen, Morten Ørregaard - 2010
Persistent link: https://www.econbiz.de/10003968441
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Likelihood inference for a fractionally cointegrated vector autoregressive model
Johansen, Søren; Nielsen, Morten Ørregaard - 2010
Persistent link: https://www.econbiz.de/10003968607
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Likelihood inference for a fractionally cointegrated vector autoregressive model
Johansen, Søren; Nielsen, Morten Ørregaard - 2010
test for cointegration rank, which is a functional of fractional Brownian motion of type II. -- Cofractional processes … ; cointegration rank ; fractional cointegration ; likelihood inferencw ; vector autoregressive model …
Persistent link: https://www.econbiz.de/10003981839
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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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The cointegrated vector autoregressive model with general deterministic terms
Johansen, Søren; Nielsen, Morten Ørregaard - 2016
Persistent link: https://www.econbiz.de/10011524104
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The cointegrated vector autoregressive model with general deterministic terms
Johansen, Søren; Nielsen, Morten Ørregaard - In: Journal of econometrics 202 (2018) 2, pp. 214-229
Persistent link: https://www.econbiz.de/10011974563
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Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
Johansen, Soren - 2010
test for cointegration rank, which is a functional of fractional Brownian motion of type II …
Persistent link: https://www.econbiz.de/10013142766
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Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
Nielsen, Morten Ørregaard - 2010
cointegration rank, which is a functional of fractional Brownian motion of type II …
Persistent link: https://www.econbiz.de/10013143144