Testing cointegrating coefficients in vector autoregressive error correction models

DOI10.1016/S0165-1765(97)00199-7zbMath0899.90054OpenAlexW1992236547WikidataQ126310768 ScholiaQ126310768MaRDI QIDQ1128547

Gerd Hansen, Jeong-Ryeol Kim, Stefan Mittnik

Publication date: 13 August 1998

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(97)00199-7

zbMATH Keywords

cointegrationGranger causalitychi-square testCauchy distributionerror correction model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items (2)

Effects of a signal-to-noise ratio on finite sample inference for cointegrating vectors ⋮ A Parametric approach to the Estimation of Cointegration Vectors in Panel Data

Cites Work

• Statistical analysis of cointegration vectors
• A note on weak exogeneity in VAR cointegrated models
• Identification of the long-run and the short-run structure. An application to the ISLM model
• Optimal Inference in Cointegrated Systems
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Vector autoregression and causality: a theoretical overview and simulation study
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods

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