Abstract We consider a nonstationary vector autoregressive process which is integrated of order 1, and generated by id. Gaussian errors. We then derive the maximum likelihood estimator of the space of cointegration vectors and the likelihood ratio test of the hypothesis that it has a given number of dimensions. Further we test linear hypotheses about the cointegration vectors.
Stored only when both papers are in the corpus — 537 citations exist upstream.
Imported from OpenAlex (CC0) — nothing here is generated.