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Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
This paper contains the likelihood analysis of vector autoregressive models allowing for cointegration. The author derives the likelihood ratio test for cointegrating rank and finds it asymptotic
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
This book gives a detailed mathematical and statistical analysis of the cointegrated vector autoregresive model. This model had gained popularity because it can at the same time capture the short-run
MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY
This paper gives a systematic application of maximum likelihood inference concerning cointegration vectors in non-stationary vector valued autoregressive time series models with Gaussian errors,
Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend
When analysing macroeconomic data it is often of relevance to allow for structural breaks in the statistical analysis. In particular, cointegration analysis in the presence of structural breaks could
Some tests for parameter constancy in cointegrated VAR-models
Some methods for the evaluation of parameter constancy in cointegrated vector autoregressive (VAR) models are discussed. Two different ways of re-estimating the VAR-model are proposed; one in which
Determination of Cointegration Rank in the Presence of a Linear Trend
It is shown how the table in S. Johansen and K. Juselius (1990) can be applied to make inference on the cointegration rank. The reason that inference is difficult is that the limit distribution of
Asymptotic Inference on Cointegrating Rank in Partial Systems
The likelihood ratio test for cointegrating rank is analyzed for partial (or conditional) systems in the vector autoregressive error-correction model. Under the assumption of weak exogeneity for the
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