Statistical analysis of cointegration vectors

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DOI10.1016/0165-1889(88)90041-3zbMath0647.62102OpenAlexW2153562738MaRDI QIDQ1104685

Søren Glud Johansen

Publication date: 1988

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(88)90041-3

zbMATH Keywords

likelihood ratio test maximum likelihood estimator chi-square test linear hypotheses Gaussian errors cointegration vectors nonstationary vector autoregressive process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

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