Testing cointegrating coefficients in vector autoregressive error correction models
type: Item
instance of: scholarly article
title: Testing cointegrating coefficients in vector autoregressive error correction models
zbMATH Open document ID: 0899.90054
DOI: 10.1016/S0165-1765(97)00199-7
author: Gerd Hansen
author: Jeong-Ryeol Kim
author: Stefan Mittnik
published in: Economics Letters
publication date: 1998-08-13T00:00:00Z
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 1189855
zbMATH Keywords: cointegration
zbMATH Keywords: error correction model
zbMATH Keywords: Granger causality
zbMATH Keywords: chi-square test
zbMATH Keywords: Cauchy distribution
MaRDI profile type: Publication
cites work: Estimation for Partially Nonstationary Multivariate Autoregressive Models
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cites work: Co-Integration and Error Correction: Representation, Estimation, and Testing
cites work: Investigating Causal Relations by Econometric Models and Cross-spectral Methods
cites work: Statistical analysis of cointegration vectors
cites work: Identification of the long-run and the short-run structure. An application to the ISLM model
cites work: Optimal Inference in Cointegrated Systems
cites work: Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
cites work: Vector autoregression and causality: a theoretical overview and simulation study
Wikidata QID: Q126310768
full work available at URL: s0165-1765(97)00199-7
OpenAlex ID: W1992236547
description: scientific article; zbMATH DE number 1189855