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Statistical analysis of cointegration vectors

Journal of Economic Dynamics and Control· 1988-06-01· article· 17,038 citationsclosed

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Søren Johansen (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control. https://doi.org/10.1016/0165-1889(88)90041-3

@article{sren1988statistical,
  title  = {Statistical analysis of cointegration vectors},
  author = {Johansen, Søren},
  year   = {1988},
  journal = {Journal of Economic Dynamics and Control},
  doi    = {10.1016/0165-1889(88)90041-3}
}

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root

1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root

1990Inference in Linear Time Series Models with some Unit Roots

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