The purpose of this paper is to give a systematic account of the maximum likelihood inference concerning cointegration vectors in non-stationary vector value autoregressive time series with Gaussian errors. The hypothesis of r cointegration vectors is given a simple parametric formulation in terms of cointegration vectors and their weights. We then estimate and test linear hypotheses about these. We find that the asymptotic inference for the linear hypotheses can be performed by applying the usual ² test. We also give some very simple Wald test and their asymptotic properties. The methids are illustrated by data from the Danish and the Finnish economy on the demand for money.
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Paper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number
88-05.
Length: 46 pages Date of creation: Apr 1988 Date of revision: Publication status: Published as: "Maximum Likelihood Estimation and Inference on Cointegration - With Applications to the Demand for Money", in: Oxford Bulletin of Economics and Statistics, 1990, 52(2) pp. 169-210 Handle: RePEc:kud:kuiedp:8805
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