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An extension of cointegration to fractional autoregressive processes
Johansen, Søren - 2010
Persistent link: https://www.econbiz.de/10008663021
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Times series : cointegration
Johansen, Søren - 2014
Persistent link: https://www.econbiz.de/10010418934
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Times series : cointegration
Johansen, Søren - 2014
Persistent link: https://www.econbiz.de/10010418999
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An extension of cointegration to fractional autoregressive processes
Johansen, Søren - 2011
Persistent link: https://www.econbiz.de/10008810484
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Some identification problems in the cointegrated vector autoregressive model
Johansen, Søren (contributor) - 2007
Persistent link: https://www.econbiz.de/10003571199
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Correlation, regression, and cointegration of nonstationary economic time series
Johansen, Søren (contributor) - 2007
Persistent link: https://www.econbiz.de/10003571206
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Cointegration and adjustment in the infinite order CVAR representation of some partially observed CVAR(1) models
Johansen, Søren - 2018
Persistent link: https://www.econbiz.de/10011865955
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Cointegration and adjustment in the CVAR(∞) representation of some partially observed CVAR(1) models
Johansen, Søren - In: Econometrics : open access journal 7 (2019) 1/2, pp. 1-10
A multivariate CVAR(1) model for some observed variables and some unobserved variables is analysed using its infinite order CVAR representation of the observations. Cointegration and adjustment coefficients in the infinite order CVAR are found as functions of the parameters in the CVAR(1) model....
Persistent link: https://www.econbiz.de/10012025719