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An analysis of the indicator saturation estimator as a robust regression estimator

Johansen, Søren (contributor); Nielsen, Bent (contributor) - 2008

Persistent link: https://www.econbiz.de/10003631872

Some identification problems in the cointegrated vector autoregressive model

Johansen, Søren (contributor) - 2007

Persistent link: https://www.econbiz.de/10003571199

Correlation, regression, and cointegration of nonstationary economic time series

Johansen, Søren (contributor) - 2007

Persistent link: https://www.econbiz.de/10003571206

Selecting a regression saturated by indicators

Hendry, David F. (contributor); Johansen, Søren (contributor) - 2007

Persistent link: https://www.econbiz.de/10003571217

Likelihood inference for a nonstationary fractional autoregressive model

Johansen, Søren (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003571225

Likelihood inference for a fractionally cointegrated vector autoregressive model

Johansen, Søren; Nielsen, Morten Ørregaard - 2010

We consider model based inference in a fractionally cointegrated (or cofractional) vector autoregressive model based on the conditional Gaussian likelihood. The model allows the process X_{t} to be fractional of order d and cofractional of order d-b; that is, there exist vectors β for which...