Johansen, Søren; Juselius, Katarina - Økonomisk Institut, Københavns Universitet - 1989
This paper gives a systematic application of maximum likelihood inference concerning cointegration vectors in non … dummies. The hypothesis of cointegration is given a simple parametric form in terms of cointegration vectors and their weights … related to the weights. Tests for the presence of cointegration vectors, both with and without a linear trend in the non …