Statistical analysis of cointegration vectors

Journal of Economic Dynamics and Control

Volumn 12, Issue 2-3, 1988, Pages 231-254

  Johansen, Søren ^a  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0345510809     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/0165-1889(88)90041-3     Document Type: Article

References (25)

1. Distribution of eigenvalues in multivariate statistical analysis
2. Distribution of the estimators for autoregressive time series with a unit root
3. Co-integration and error correction Representation estimation and testing
4. Some properties of time series data and their use in econometric model specification
5. Time series analysis of error correction models
6. Functional relations, random coefficients, and non-linear regression with application to kinetic data
7. The mathematical structure of error correction models
8. Understanding spurious regression in econometrics
9. Multiple regression with integrated time series
10. Multiple time series regression with integrated processes
11. Testing for cointegration
12. Asymptotic properties of residual based tests for cointegration
13. Asymptotic equivalence of OLS and GLS in regression with integrated regressors
14. Statistical inference in regressions with integrated processes: Part 1
15. Statistical inference in regressions with integrated processes: Part 2
16. The theory of least squares when the parameters are stochastic and its applications to the analysis of growth curves
17. Asymptotic properties of least squares estimates of cointegration vectors
18. Testing for common trends
19. Reduced rank models for multiple time series