✦ LIBER ✦

Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

✍ Scribed by Johansen, Soren

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Efficient Estimation Of Cointegrating Ve

✍ Nikitas Pittis 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 414 KB

Testing cointegrating coefficients in ve

✍ Gerd Hansen; Jeong-Ryeol Kim; Stefan Mittnik 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 68 KB

Modelling of cointegration in the vector

✍ Søren Johansen 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 114 KB

Interpretation of Cointegrating Coeffici

✍ Søren Johansen 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 English ⚖ 116 KB

A comparison of tests of linear hypothes

✍ Zacharias Psaradakis 📂 Article 📅 1994 🏛 Elsevier Science 🌐 English ⚖ 525 KB

The asymptotic variance of the estimated

✍ Søren Johansen 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 350 KB