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A small sample correction for tests of hypotheses on the cointegrating vectors

Johansen, Søren - 1999

Persistent link: https://www.econbiz.de/10001389411

A Bartlett correction factor for tests on the cointegrating relations

Johansen, Søren - 1999

Persistent link: https://www.econbiz.de/10001389415

Likelihood-based inference for cointegration of some nonstationary time series

Johansen, Søren - In: Time series models : in econometrics, finance and other …, (pp. 69-100). 1996

Persistent link: https://www.econbiz.de/10001319936

Testing weak exogeneity and the order of cointegration in UK money demand data

Johansen, Søren - In: Journal of policy modeling : JPMOD ; a social science … 14 (1992) 3, pp. 313-334

Persistent link: https://www.econbiz.de/10001125795

The role of the constant and linear terms in cointegration analysis of nonstationary variables

Johansen, Søren - In: Econometric reviews 13 (1994) 2, pp. 205-229

Persistent link: https://www.econbiz.de/10001163113

The role of ancillarity in inference for non-stationary variables

Johansen, Søren - In: The economic journal : the journal of the Royal … 105 (1995) 429, pp. 302-320

Persistent link: https://www.econbiz.de/10001179128

Estimating systems of trending variables

Johansen, Søren - In: Econometric reviews 13 (1994) 3, pp. 351-386

Persistent link: https://www.econbiz.de/10001172757

A statistical analysis of cointegration for I(2) variables

Johansen, Søren - In: Econometric theory 11 (1995) 1, pp. 25-59

Persistent link: https://www.econbiz.de/10001176355

Cointegration and adjustment in the CVAR(∞) representation of some partially observed CVAR(1) models

Johansen, Søren - In: Econometrics : open access journal 7 (2019) 1/2, pp. 1-10

A multivariate CVAR(1) model for some observed variables and some unobserved variables is analysed using its infinite order CVAR representation of the observations. Cointegration and adjustment coefficients in the infinite order CVAR are found as functions of the parameters in the CVAR(1) model....

Persistent link: https://www.econbiz.de/10012025719

Times series : cointegration

Johansen, Søren - 2014

Persistent link: https://www.econbiz.de/10010418934