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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

A note on testing restrictions for the cointegration parameters of a VAR with I (2) variables

Johansen, Søren; Lütkepohl, Helmut - In: Econometric theory 21 (2005) 3, pp. 653-658

Persistent link: https://www.econbiz.de/10002794790

Controlling inflation in a cointegrated vector autoregressive model with an application to U.S. data

Johansen, Søren (contributor); … - 2001

Persistent link: https://www.econbiz.de/10001592931

Modeling regional interdependencies using a global error-correcting macroeconometric model

Pesaran, M. Hashem; Schuermann, Til; Weiner, Scott M. - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 2, pp. 129-181

Persistent link: https://www.econbiz.de/10002037011

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/10001251806

Controlling inflation in a cointegrated vector autoregressive model with an application to US data

Johansen, Søren; Jusélius, Katarina - 2001

Persistent link: https://www.econbiz.de/10001582520

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 con- sistency 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/10011845794

Nonstationary cointegration in the fractionally cointegrated VAR model

Johansen, Søren; Nielsen, Morten Ørregaard - 2018

Persistent link: https://www.econbiz.de/10011864979

Nonstationary cointegration in the fractionally cointegrated VAR model

Johansen, Søren; Nielsen, Morten Ørregaard - 2018

Persistent link: https://www.econbiz.de/10011865936

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