Interpreting cointegrating vectors and common stochastic trends

DOI10.1016/0304-4076(95)01746-1zbMath0864.62086OpenAlexW2059758449MaRDI QIDQ2565040

Michael Wickens

Publication date: 22 June 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01746-1

zbMATH Keywords

identificationmaximum likelihood estimationcointegrationnonstationaritycommon stochastic trendsVAR analysisunrestricted vector correction models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (5)

The selection of zero-non-zero patterned cointegrating vectors in error-correction modelling ⋮ Testing the long-run structural validity of the monetary exchange rate model ⋮ Some identification problems in the cointegrated vector autoregressive model ⋮ AN ANALYSIS OF ASIAN MARKET INTEGRATION PRE- AND POST-CRISIS ⋮ ON THE IDENTIFICATION AND ESTIMATION OF NONSTATIONARY AND COINTEGRATED ARMAX SYSTEMS

Cites Work

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• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Estimating Long-Run Economic Equilibria
• Statistical analysis of cointegration vectors
• Cointegration in partial systems and the efficiency of single-equation analysis
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
• Exogeneity
• Optimal Inference in Cointegrated Systems
• Testing for Common Trends
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Fully Modified Least Squares and Vector Autoregression
• On the interactions of unit roots and exogeneity

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