Statistical analysis of cointegration vectors
type: Item
instance of: scholarly article
title: Statistical analysis of cointegration vectors
zbMATH Open document ID: 0647.62102
DOI: 10.1016/0165-1889(88)90041-3
publication date: 1988-01-01T00:00:00Z
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 62H15
zbMATH DE Number: 4056853
zbMATH Keywords: chi-square test
zbMATH Keywords: nonstationary vector autoregressive process
zbMATH Keywords: Gaussian errors
zbMATH Keywords: maximum likelihood estimator
zbMATH Keywords: cointegration vectors
zbMATH Keywords: likelihood ratio test
zbMATH Keywords: linear hypotheses
author: Søren Johansen
MaRDI profile type: Publication
full work available at URL: 0165-1889(88)90041-3
OpenAlex ID: W2153562738
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published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 4056853