IDEAS home Printed from
MyIDEAS: Login to save this article or follow this journal

Likelihood-Based Inference In Cointegrated Vector Autoregressive Models

  • Kitamura, Yuichi
Registered author(s):

    Since the notion of cointegration was established by Engel and Granger (1987), many statistical methods have been suggested to estimate and test cointegrated models. Undoubtedly the Gaussian likelihood based method advocated by Johansen (1988, 1991) is one of the most popular choices among practitioners. In his 1988 paper, Johansen applied Anderson s (1951) maximum likelihood estimation procedure for reduced rank regression (RRR) models to isolate common stochastic trends in multiple time series. This was a remarkable breakthrough, which he and other authors have extended into various directions in the last decade. Johansen s approach is attractive in that it provides a unified set of tools of estimation, cointegration rank testing, and parametric hypothesis testing, based on the Gaussian likelihood for a vector autoregression (VAR). Although this book and other papers of Johansen are mostly concerned with reduced form models, the statistical information provided by his method is useful for applied econometricians, especially in fields where tractable dynamic structural models are not available. This book presents a concise yet comprehensive treatment of his methodology.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    File Function: link to article abstract page
    Download Restriction: no

    Article provided by Cambridge University Press in its journal Econometric Theory.

    Volume (Year): 14 (1998)
    Issue (Month): 04 (August)
    Pages: 517-524

    in new window

    Handle: RePEc:cup:etheor:v:14:y:1998:i:04:p:517-524_14
    Contact details of provider: Postal: Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK
    Web page:

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:14:y:1998:i:04:p:517-524_14. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.