Estimating systems of trending variables

DOI10.1080/07474939408800293zbMath0829.62102OpenAlexW2112091781MaRDI QIDQ4853084

Søren Glud Johansen

Publication date: 24 January 1996

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

Full work available at URL: https://doi.org/10.1080/07474939408800293

zbMATH Keywords

surveycointegrationlikelihood inferenceintegrated time seriesreduced rank regressionasymptotic inferencevector autoregressive modelpartial modelsregression methodstrending variables

Mathematics Subject Classification ID

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

Related Items (2)

COINTEGRATION AND COMMON FACTORS ⋮ ESTIMATION OF COINTEGRATING VECTORS WITH TIME SERIES MEASURED AT DIFFERENT PERIODICITY

Cites Work

• Unnamed Item
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• 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
• Inference in Linear Time Series Models with some Unit Roots
• Optimal Inference in Cointegrated Systems
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• Nested Reduced-Rank Autogressive Models for Multiple Time Series
• Testing for Common Trends
• Canonical Cointegrating Regressions
• Vector linear time series models
• NON‐NEGATIVE AUTOREGRESSIVE MODELS
• 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

This page was built for publication: Estimating systems of trending variables