Asymptotic inference on cointegrating rank in partial systems

Journal of Business and Economic Statistics

Volumn 16, Issue 4, 1998, Pages 388-399

  Harbo, Ingrid ^a   Johansen, Søren ^b   Nielsen, Bent ^c   Rahbek, Anders ^d  

^a Novo Research Institute   (Denmark)

^b EUROPEAN UNIVERSITY INSTITUTE   (Italy)

^c NUFFIELD COLLEGE   (United Kingdom)

^d UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Cointegration; Common trends; Conditional model; Partial likelihood; Reduced rank regression; Weak exogeneity

Indexed keywords

EID: 0032345763     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.1998.10524779     Document Type: Article

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