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First and second order non-linear cointegration models
Lange, Theis - 2009
Persistent link: https://www.econbiz.de/10003849457
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First and second order non-linear cointegration models
Lange, Theis - School of Economics and Management, University of Aarhus - 2009
This paper studies cointegration in non-linear error correction models characterized by discontinuous and regime-dependent error correction and variance specifications. In addition the models allow for autoregressive conditional heteroscedasticity (ARCH) type specifications of the variance. The...
Persistent link: https://www.econbiz.de/10005787551
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A Bartlett correction factor for tests on the cointegrating relations
Johansen, Søren - In: Econometric theory 16 (2000) 5, pp. 740-778
Persistent link: https://www.econbiz.de/10001533173
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Modelling of cointegration in the vector autoregressive model
Johansen, Søren - In: Economic modelling 17 (2000) 3, pp. 359-373
Persistent link: https://www.econbiz.de/10001496609
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A small sample correction for tests of hypotheses on the cointegrating vectors
Johansen, Søren - 1999
Persistent link: https://www.econbiz.de/10001389411
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A Bartlett correction factor for tests on the cointegrating relations
Johansen, Søren - 1999
Persistent link: https://www.econbiz.de/10001389415
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The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model
Johansen, Søren - 2001
Persistent link: https://www.econbiz.de/10001582517
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A small sample correction for tests of hypotheses on the cointegrating vectors
Johansen, Søren - In: Journal of econometrics 111 (2002) 2, pp. 195-221
Persistent link: https://www.econbiz.de/10001715741
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Interpretation of cointegrating coefficients in the cointegrated vector autoregressive model
Johansen, Søren - In: Oxford bulletin of economics and statistics 67 (2005) 1, pp. 93-104
Persistent link: https://www.econbiz.de/10002569944
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A small sample correction of the test for cointegrating rank in the vector autoregressive model
Johansen, Søren - 2000
Persistent link: https://www.econbiz.de/10001541067