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An asymptotic invariance property of the common trends under linear transformations of the data

Johansen, Søren; Juselius, Katarina - In: Journal of Econometrics 178 (2014) P2, pp. 310-315

It is well known that if Xt is a nonstationary process and Yt is a linear function of Xt, then cointegration of Yt implies cointegration of Xt. We want to find an analogous result for common trends if Xt is generated by a finite order VAR with i.i.d. (0,Ωx) errors εxt. We first show that Yt...

Persistent link: https://www.econbiz.de/10011052309

Identification of the long-run and the short-run structure an application to the ISLM model

Johansen, Soren; Juselius, Katarina - In: Journal of Econometrics 63 (1994) 1, pp. 7-36

Persistent link: https://www.econbiz.de/10005052749

Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK

Johansen, Søren; Juselius, Katarina - In: Journal of Econometrics 53 (1992) 1-3, pp. 211-244

Persistent link: https://www.econbiz.de/10005052788

Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time-series model

Juselius, Katarina - In: Journal of Econometrics 69 (1995) 1, pp. 211-240

Persistent link: https://www.econbiz.de/10005052922

Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate

Johansen, Søren; Juselius, Katarina; Frydman, Roman; … - In: Journal of Econometrics 158 (2010) 1, pp. 117-129

This paper discusses the I(2) model with breaks in the deterministic component and illustrates the model with an analysis of German and US prices, exchange rates, and interest rates in the period 1975-1999. It provides new results on the likelihood ratio test of overidentifying restrictions on...

Persistent link: https://www.econbiz.de/10008866521