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Some structural hypotheses in a multivariate cointegration analysis of the purchasing power parity and the uncovered interest parity for UK

Johansen, Søren; Jusélius, Katarina - 1990

Persistent link: https://www.econbiz.de/10000786481

The full information maximum likelihood procedure for inference on cointegration : with applications

Johansen, Søren; Jusélius, Katarina - 1989

Persistent link: https://www.econbiz.de/10000760157

Workbook on cointegration

Hansen, Peter Reinhard; Johansen, Søren - 1998 - 1. publ.

Persistent link: https://www.econbiz.de/10000664667

Testing exact rational expectations in cointegrated vector autoregressive models

Johansen, Søren; Swensen, Anders Rygh - In: Journal of econometrics 93 (1999) 1, pp. 73-91

Persistent link: https://www.econbiz.de/10001406640

A small sample correction for tests of hypotheses on the cointegrating vectors

Johansen, Søren - 1999

Persistent link: https://www.econbiz.de/10001389411

A Bartlett correction factor for tests on the cointegrating relations

Johansen, Søren - 1999

Persistent link: https://www.econbiz.de/10001389415

The cointegrated vector autoregressive model with general deterministic terms

Johansen, Søren; Nielsen, Morten Ørregaard - 2016

Persistent link: https://www.econbiz.de/10011524104

The cointegrated vector autoregressive model with general deterministic terms

Johansen, Søren; Nielsen, Bent - 2016

Persistent link: https://www.econbiz.de/10011524568

Cointegration and adjustment in the CVAR(∞) representation of some partially observed CVAR(1) models

Johansen, Søren - In: Econometrics : open access journal 7 (2019) 1/2, pp. 1-10

A multivariate CVAR(1) model for some observed variables and some unobserved variables is analysed using its infinite order CVAR representation of the observations. Cointegration and adjustment coefficients in the infinite order CVAR are found as functions of the parameters in the CVAR(1) model....

Persistent link: https://www.econbiz.de/10012025719

Cointegration between trends and their estimators in state space models and CVAR models

Johansen, Søren; Nyboe Tabor, Morten - 2017

Persistent link: https://www.econbiz.de/10011624144