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Likelihood analysis of seasonal cointegration

Johansen, Søren - In: Journal of econometrics 88 (1999) 2, pp. 301-339

Persistent link: https://www.econbiz.de/10001252782

Likelihood analysis of seasonal cointegration

Johansen, Søren; Schaumburg, Ernst - 1997

Persistent link: https://www.econbiz.de/10000974039

An I(2) cointegration analysis of the purchasing power parity between Australia and the United States

Johansen, Søren - 1991

Persistent link: https://www.econbiz.de/10000129180

Statistical analysis of hypothesis on the cointegrating relations in the I(2) model

Johansen, Søren - In: Journal of econometrics 132 (2006) 1, pp. 81-115

Persistent link: https://www.econbiz.de/10003320246

The analysis of nonstationary time series using regression, correlation and cointegration with an application to annual mean temperature and sea level

Johansen, Søren - 2010

Persistent link: https://www.econbiz.de/10008669923

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