Maximum‐Likelihood Inference Theory of Co‐Integrated VAR

Michio Hatanaka

in Time-Series-Based Econometrics

Published in print January 1996 | ISBN: 9780198773535
Published online November 2003 | e-ISBN: 9780191596360 | DOI:

Series: Advanced Texts in Econometrics

 Maximum‐Likelihood Inference Theory of Co‐Integrated VAR

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This chapter examines inference procedures for the co-integration developed by Johansen (1988, 1991a, 1992b, 1992c, 1994) based on maximum-likelihood analysis of the VAR error-correction representation. It discusses the determination of co-integration rank from data, and hypothesis testing on the co-integration space. It criticises a misleading practice of listing the estimates of co-integrating vectors, and presents a condition for weak exogeneity. It reviews empirical applications of the maximum-likelihood analysis of VAR.

Keywords: co-integration; maximum-likelihood analysis; VAR error-correction; regression

Chapter.  17654 words. 

Subjects: Econometrics and Mathematical Economics

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