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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
monograph
Author(s):
Søren Johansen
Publication date:
December 28 1995
Publisher:
Oxford University Press
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Book
ISBN:
9780198774501
Publication date:
December 28 1995
DOI:
10.1093/0198774508.001.0001
SO-VID:
a40ca5a3-264b-49ab-b6f4-629ac7cf4a50
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Book chapters
pp. 3
Introduction
pp. 11
The Vector Autoregressive Model
pp. 34
Basic Definitions and Concepts
pp. 45
Cointegration and Representation of Integrated Variables
pp. 70
The I(1) Models and Their Interpretation
pp. 89
The Statistical Analysis of I (1) Models
pp. 104
Hypothesis Testing for the Long‐Run Coefficients β
pp. 121
Partial Systems and Hypotheses on α
pp. 132
The I(2) Model and a Test for I(2)
pp. 141
Probability Properties of I (1) Processes
pp. 151
The Asymptotic Distribution of the Test for Cointegrating Rank
pp. 167
Determination of Cointegrating Rank
pp. 177
Asymptotic Properties of the Estimators
pp. 201
The Power Function of the Test for Cointegrating Rank Under Local Alternatives
pp. 211
Simulations and Tables
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