Some identification problems in the cointegrated vector autoregressive model

DOI10.1016/j.jeconom.2010.01.007zbMath1431.62633OpenAlexW3123693751MaRDI QIDQ736675

Søren Glud Johansen

Publication date: 4 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.01.007

zbMATH Keywords

identificationasymptotic distributioncointegrationcommon trends

Mathematics Subject Classification ID

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

Related Items

TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS, Normalising cointegrating relationships subject to long-run exclusion, Regression-based analysis of cointegration systems

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