Johansen, Søren; Swensen, Anders Rygh - 2009
).
Classiflcation: C32.
Keywords: VAR models, cointegration, rational expectations.
⁄Corresponding author: S¿ren Johansen, Department of … is the covariance matrix of Zt.
In the special case of k = 1 and r = 1, there is only one cointegration vector, and both … cointegration vectors are super-consistent, and hence can
be treated as known. The situation where all these parameters actually are …