Consistent Estimation of the Number of Cointegration Relations in a Vector Autoregressive Model

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Consistent Estimation of the Number of Cointegration Relations in a Vector Autoregressive Model

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H. L"UTKEPOHL
D. S. POSKITT

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Helmut Lütkepohl

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Paper provided by Humboldt Universitaet Berlin in its series Sonderforschungsbereich 373 with number 1996-74.

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Handle: RePEc:wop:humbsf:1996-74

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Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November. [Downloadable!] (restricted)
Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233. [Downloadable!] (restricted)
Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)
Phillips, P. C. B. & Ouliaris, S., 1988. "Testing for cointegration using principal components methods," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 205-230. [Downloadable!] (restricted)

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