The role of the constant and linear terms in cointegration analysis of nonstationary variables

DOI10.1080/07474939408800284zbMath0829.62086OpenAlexW2135892621MaRDI QIDQ4853080

Søren Glud Johansen

Publication date: 25 October 1995

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939408800284

zbMATH Keywords

cointegrationautoregressive modelreduced rank regressionlinear trendconstant termlinear termsquadratic trendI(1) variablesI(2) variables

Mathematics Subject Classification ID

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

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Cites Work

• Statistical analysis of cointegration vectors
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Nested Reduced-Rank Autogressive Models for Multiple Time Series
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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