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Statistical analysis of cointegration vectors

Johansen, Søren - 1988

Persistent link: https://www.econbiz.de/10001269093

A small sample correction of the Dickey-Fuller test

Johansen, Søren - In: New directions in macromodelling, (pp. 49-68). 2004

Persistent link: https://www.econbiz.de/10002717320

An analysis of the indicator saturation estimator as a robust regression estimator

Johansen, Søren; Nielsen, Bent - In: The methodology and practice of econometrics : a …, (pp. 1-36). 2009

Persistent link: https://www.econbiz.de/10003857820

A representation theory for a class of vector autoregressive models for fractional processes

Johansen, Søren - In: Econometric theory 24 (2008) 3, pp. 651-676

Persistent link: https://www.econbiz.de/10003894279

A necessary moment condition for the fractional functional central limit theorem

Johansen, Søren; Nielsen, Morten Ørregaard - 2010

We discuss the moment condition for the fractional functional central limit theorem (FCLT) for partial sums of x_{t}=Delta^{-d}u_{t}, where d in (-1/2,1/2) is the fractional integration parameter and u_{t} is weakly dependent. The classical condition is existence of qmax(2,(d+1/2)^{-1}) moments...