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The analysis of nonstationary time series using regression, correlation and cointegration
Johansen, Søren - In: Contemporary economics 6 (2012) 2, pp. 40-57
There are simple well-known conditions for the validity of regression and correlation as statistical tools. We analyse by examples the effect of nonstationarity on inference using these methods and compare them to model based inference using the cointegrated vector autoregressive model. Finally...
Persistent link: https://www.econbiz.de/10009767620
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Optimal hedging with the Vector Autoregressive model
Gatarek, Lukasz; Johansen, Søren - 2014
with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that … 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 innite …
Persistent link: https://www.econbiz.de/10010244526
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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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Testing the CVAR in the fractional CVAR model
Johansen, Søren; Nielsen, Morten Ørregaard - 2017
We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and show that the test statistic for the ususal CVAR model is asymptotically chi-squared distributed. Because the usual CVAR model lies on the boundary of the parameter space for the...
Persistent link: https://www.econbiz.de/10011756080
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A conversation with Søren Johansen
Johansen, Søren (interviewee); Mosconi, Rocco (interviewer) - In: Econometrics : open access journal 10 (2022) 2, pp. 1-16
fractional cointegration types; survival analysis; statistical modelling; likelihood; econometric methodology; the teaching and …
Persistent link: https://www.econbiz.de/10013355167
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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 unified 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/10011583206
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Testing the CVAR in the fractional CVAR model
Johansen, Søren; Nielsen, Morten Ørregaard - 2017
We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and show that the likelihood ratio test statistic for the usual CVAR model is asymptotically chi-squared distributed. Because the usual CVAR model lies on the boundary of the parameter...
Persistent link: https://www.econbiz.de/10011939445
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Nonstationary cointegration in the fractionally cointegrated VAR model
Johansen, Søren; Nielsen, Morten Ørregaard - 2018
We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and make two distinct contributions. First, in their consistency proof, Johansen and Nielsen (2012a) imposed moment conditions on the errors that depend on the parameter space, such that...
Persistent link: https://www.econbiz.de/10011939456
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Testing Rational Expectations in Vector Autoregressive Models
Johansen, Søren; Swensen, Anders Rygh - 1994
variables is allowed, and the restrictions on the cointegration relationships are spelled out. In some interesting special cases …
Persistent link: https://www.econbiz.de/10011967901
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More on Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models: Restricted Drift Terms
Johansen, Søren; Swensen, Anders Rygh - 2003
In this note we consider testing of a type of linear restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables when there in addition is a restriction on the deterministic drift term.
Persistent link: https://www.econbiz.de/10011968118