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Volumn 50, Issue 2, 1996, Pages 193-195

An enlarged definition of cointegration

Author keywords

Cointegration; Integration order; Multivariate process

Indexed keywords


EID: 0030306917     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/0165-1765(95)00733-4     Document Type: Article
Times cited : (14)

References (7)
  • 2
    • 0000013567 scopus 로고
    • Co-integration and error-correction: Representation, estimation and testing
    • Engle, R.F. and C.W.J. Granger, 1987, Co-integration and error-correction: Representation, estimation and testing, Econometrica 55, 251-276.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 4
    • 0000158117 scopus 로고
    • Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models
    • Johansen, S., 1991, Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models, Econometrica 59, 1551-1580.
    • (1991) Econometrica , vol.59 , pp. 1551-1580
    • Johansen, S.1
  • 7
    • 0001527764 scopus 로고
    • A simple estimator of cointegrating vectors in higher order integrated systems
    • Stock, J.H. and M.W. Watson, 1993, A simple estimator of cointegrating vectors in higher order integrated systems, Econometrica 61, 783-820.
    • (1993) Econometrica , vol.61 , pp. 783-820
    • Stock, J.H.1    Watson, M.W.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.