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Modelling of cointegration in the vector autoregressive model

✍ Scribed by Søren Johansen

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Interpretation of Cointegrating Coeffici

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

The asymptotic variance of the estimated

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

A Small Sample Correction for the Test o

✍ Søren Johansen 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 246 KB

THE COINTEGRATION PROPERTIES OF VECTOR A

✍ James Davidson 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 998 KB

Identifying Structural Breaks in Cointeg

✍ Håvard Hungnes 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 626 KB

Testing cointegrating coefficients in ve

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