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Cointegration between trends and their estimators in state space models and cointegrated vector autoregressive models
Johansen, Søren; Tabor, Morten Nyboe - In: Econometrics : open access journal 5 (2017) 3, pp. 1-46
A state space model with an unobserved multivariate random walk and a linear observation equation is studied. The purpose is to find out when the extracted trend cointegrates with its estimator, in the sense that a linear combination is asymptotically stationary. It is found that this result...
Persistent link: https://www.econbiz.de/10011711088
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Cointegration between trends and their estimators in state space models and CVAR models
Johansen, Søren; Nyboe Tabor, Morten - 2017
Persistent link: https://www.econbiz.de/10011624144
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Cointegration between trends and their estimators in state space models and CVAR models
Johansen, Søren; Nyboe Tabor, Morten - 2017
Persistent link: https://www.econbiz.de/10011625471
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Mathematical and statistical modelling of cointegration
Johansen, Søren - 1997
Persistent link: https://www.econbiz.de/10000974037
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Likelihood-based inference for cointegration of some nonstationary time series
Johansen, Søren - In: Time series models : in econometrics, finance and other …, (pp. 69-100). 1996
Persistent link: https://www.econbiz.de/10001319936
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Statistical analysis of cointegration vectors
Johansen, Søren - In: Journal of economic dynamics & control 12 (1988) 2, pp. 199-607
Persistent link: https://www.econbiz.de/10001269093
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The role of the constant and linear terms in cointegration analysis of nonstationary variables
Johansen, Søren - In: Econometric reviews 13 (1994) 2, pp. 205-229
Persistent link: https://www.econbiz.de/10001163113
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Testing weak exogeneity and the order of cointegration in UK money demand data
Johansen, Søren - In: Journal of policy modeling : JPMOD ; a social science … 14 (1992) 3, pp. 313-334
Persistent link: https://www.econbiz.de/10001125795
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A representation of vector autoregressive processes integrated of order 2
Johansen, Søren - In: Econometric theory 8 (1992) 2, pp. 188-202
Persistent link: https://www.econbiz.de/10001128737
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Statistical analysis of some nonstationary time series
Johansen, Søren - In: Econometrics and economic theory in the 20th century : …, (pp. 433-457). 1998
Persistent link: https://www.econbiz.de/10001548946