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Modelling of cointegration in the vector autoregressive model · Study

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ArticleModelling of cointegration in the vector autoregressive model

Søren Johansen2000

Article2000

Modelling of cointegration in the vector autoregressive model

Søren Johansen

115 citations·0/0 files stored·Economic Modelling

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Diverse Scientific and Economic Studies

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models 1987Cointegration and Tests of Present Value Models 1993Introduction to Multiple Time Series Analysis 1993Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data 1992Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK 1996Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data.

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2011Inequality and growth: evidence from panel cointegration 2005The Dynamic Effects of Public Capital: VAR Evidence for 22 OECD Countries 2012The long-run determinants of fertility: one century of demographic change 1900–1999 2007Bond Markets and Economic Growth 2010Exchange rate and trade balance: J-curve effect

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Year2000

Typearticle

Published2000-08-01

VenueEconomic Modelling

ISSN-L0264-9993

Languageen

Citations115

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/s0264-9993(99)00043-7

openalex_workW2014305517

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