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Confronting the economic model with the data
Johansen, Søren - In: Post Walrasian macroeconomics : beyond the dynamic …, (pp. 287-300). 2006
Persistent link: https://www.econbiz.de/10003374629
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An extension of cointegration to fractional autoregressive processes
Johansen, Søren - 2010
Persistent link: https://www.econbiz.de/10008663021
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An extension of cointegration to fractional autoregressive processes
Johansen, Søren - 2011
Persistent link: https://www.econbiz.de/10008810484
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Some identification problems in the cointegrated vector autoregressive model
Johansen, Søren - In: Journal of econometrics 158 (2010) 2, pp. 262-273
Persistent link: https://www.econbiz.de/10008839956
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Some identification problems in the cointegrated vector autoregressive model
Johansen, Søren (contributor) - 2007
Persistent link: https://www.econbiz.de/10003571199
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Correlation, regression, and cointegration of nonstationary economic time series
Johansen, Søren (contributor) - 2007
Persistent link: https://www.econbiz.de/10003571206
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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
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Times series : cointegration
Johansen, Søren - 2014
Persistent link: https://www.econbiz.de/10010418934