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Asymptotic results for cointegration tests in non-stable case

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Bent Nielsen

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Paper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number W32..

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Handle: RePEc:nuf:econwp:9632

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Web page: http://www.nuff.ox.ac.uk/economics/

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  1. Johansen, S., 1991. "A Statistical Analsysis of Cointegration for I(2) Variables," Papers 77, Helsinki - Department of Economics.
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  2. Bent Nielsen, . "On the distribution of tests of cointegration rank," Economics Papers 1997-W10, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  3. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)
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This page was last updated on 2009-11-30.

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