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Estimation and Asymptotic Inference in the AR-ARCH Model
Lange, Theis; Rahbek, Anders; Jensen, Sren Tolver - In: Econometric reviews 30 (2011) 2, pp. 129-154
Persistent link: https://www.econbiz.de/10008813123
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On convergence of the QMLE for misspecified GARCH models
Jensen, Anders Tolver; Lange, Theis - In: Journal of time series econometrics 2 (2010) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10010029867
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Likelihood-based Inference in Cointegrated Vector Autoregressive Models
Johansen, Søren; Larsson, Rolf - In: The Scandinavian journal of economics 99 (1997) 2, pp. 351
Persistent link: https://www.econbiz.de/10007370850
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More on testing exact rational expectations in cointegrated vector autoregressive models: Restricted constant and linear term
Johansen, Søren; Swensen, Anders Rygh - In: The econometrics journal 7 (2004) 2, pp. 389-397
Persistent link: https://www.econbiz.de/10007442933
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Likelihood analysis of seasonal cointegration
Johansen, Søren; Schaumburg, Ernst - In: Journal of econometrics 88 (1999) 2, pp. 301-340
Persistent link: https://www.econbiz.de/10006786617
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Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
Johansen, Søren - In: Journal of econometrics 69 (1995) 1, pp. 111-132
Persistent link: https://www.econbiz.de/10006797932
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Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
Johansen, Søren - In: Econometric reviews 28 (2009) 1, pp. 121-145
Persistent link: https://www.econbiz.de/10008160776
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Some identification problems in the cointegrated vector autoregressive model
Johansen, Søren - In: Journal of econometrics 158 (2010) 2, pp. 262-274
Persistent link: https://www.econbiz.de/10008455146
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Comment - Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model
Johansen, Søren - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 2, pp. 169-171
Persistent link: https://www.econbiz.de/10008214771
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Special Section on Exogeneity, Cointegration, and Economic Policy - Asymptotic Inference on Cointegrating Rank in Partial Systems
Harbo, Ingrid; Johansen, Søren; Nielsen, Bent; Rahbek, … - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 4, pp. 388-399
Persistent link: https://www.econbiz.de/10008218982