Chapter

The Statistical Analysis of <i>I</i> (1) Models

Søren Johansen

in Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Published in print December 1995 | ISBN: 9780198774501
Published online November 2003 | e-ISBN: 9780191596476 | DOI: http://dx.doi.org/10.1093/0198774508.003.0006

Series: Advanced Texts in Econometrics

 							The Statistical Analysis of I (1) Models

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Contains the likelihood analysis of the I(1) models. The main result is the derivation of the method of reduced rank regression because of Anderson. This solves the estimation problem for the unrestricted cointegration vectors, and hence the problem of deriving a test for cointegrating rank, the so‐called trace test. The reduced rank algorithm is applied to a number of different models defined by restrictions on the deterministic terms.

Keywords: cointegrating rank; cointegrating vectors; deterministic terms I(1) model; reduced rank regression; trace test

Chapter.  7723 words. 

Subjects: Econometrics and Mathematical Economics

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