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Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money.
Johansen, Soren, (1990)
Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression
Hoover, Kevin D., (2008)
A Resolution of the Purchasing Power Parity Puzzle : Imperfect Knowledge and Long Swings
Frydman, Roman, (2020)