Book

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Søren Johansen

Published in print December 1995 | ISBN: 9780198774501
Published online November 2003 | e-ISBN: 9780191596476 | DOI: http://dx.doi.org/10.1093/0198774508.001.0001

Series: Advanced Texts in Econometrics

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

More Like This

Show all results sharing this subject:

  • Econometrics and Mathematical Economics

GO

Show Summary Details

Preview

This monograph is concerned with the statistical analysis of multivariate systems of non‐stationary time series of type I(1). It applies the concepts of cointegration and common trends in the framework of the Gaussian vector autoregressive model. The main result on the structure of cointegrated processes as defined by the error correction model is Grangers representation theorem. The statistical results include derivation of the trace test for cointegrating rank, test on cointegrating relations, and test on adjustment coefficients and their asymptotic distributions.

Keywords: adjustment coefficients; cointegrating relations; cointegration; common trends; error correction model; Granger representation theorem; non‐stationary time series; trace test; vector autoregressive model

Book.  278 pages.  Illustrated.

Subjects: Econometrics and Mathematical Economics

Full text: subscription required

How to subscribe Recommend to my Librarian

Buy this work at Oxford University Press »


Table of Contents

Introduction in Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Chapter

Full text: subscription required

How to subscribe Recommend to my Librarian

The Vector Autoregressive Model in Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Chapter

Full text: subscription required

How to subscribe Recommend to my Librarian

Basic Definitions and Concepts in Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Chapter

Full text: subscription required

How to subscribe Recommend to my Librarian

Cointegration and Representation of Integrated Variables in Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Chapter

Full text: subscription required

How to subscribe Recommend to my Librarian

The <i>I</i>(1) Models and Their Interpretation in Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Chapter

Full text: subscription required

How to subscribe Recommend to my Librarian

The Statistical Analysis of <i>I</i> (1) Models in Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Chapter

Full text: subscription required

How to subscribe Recommend to my Librarian

Hypothesis Testing for the Long‐Run Coefficients β in Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Chapter

Full text: subscription required

How to subscribe Recommend to my Librarian

Partial Systems and Hypotheses on α in Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Chapter

Full text: subscription required

How to subscribe Recommend to my Librarian

The <i>I</i>(2) Model and a Test for <i>I</i>(2) in Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Chapter

Full text: subscription required

How to subscribe Recommend to my Librarian

Probability Properties of <i>I</i> (1) Processes in Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Chapter

Full text: subscription required

How to subscribe Recommend to my Librarian

See all items in Oxford Index »

Users without a subscription are not able to see the full content. Please, subscribe or login to access all content.