Statistical analysis of hypotheses on the cointegrating relations in the I ( 2 ) model

Journal of Econometrics

Volumn 132, Issue 1, 2006, Pages 81-115

  Johansen, Søren ^a  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Asymptotic theory; Cointegration; I ( 2 ) processes; Likelihood ratio test

Indexed keywords

MATHEMATICAL MODELS; MAXIMUM LIKELIHOOD ESTIMATION; OPTIMIZATION; PARAMETER ESTIMATION; REGRESSION ANALYSIS;

ASYMPTOTIC THEORY; COINTEGRATION; I ( 2 ) PROCESSES; LIKELIHOOD RATIO TEST;

STATISTICAL METHODS;

EID: 33646157080     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.01.024     Document Type: Article

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