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The Role of Ancillarity in Inference for Non-stationary Variables

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  • Johansen, Soren

Abstract

Some examples of the regression method are compared with likelihood-based inference. It is shown that, although the asymptotic theory is distinctly different for ergodic and nonergodic processes, the likelihood methods lead to the result that asymptotic inference can be conducted in the same way for the two cases by appealing to classical conditioning arguments from statistics using the notion of S-ancillarity or strong exogeneity. It is pointed out that the Fisher information can be considered a measure of the conditional variance of the maximum likelihood estimator given the available information in the sample. Copyright 1995 by Royal Economic Society.

Suggested Citation

  • Johansen, Soren, 1995. "The Role of Ancillarity in Inference for Non-stationary Variables," Economic Journal, Royal Economic Society, vol. 105(429), pages 302-320, March.
  • Handle: RePEc:ecj:econjl:v:105:y:1995:i:429:p:302-20
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    Cited by:

    1. Søren Johansen, 2010. "An Extension of Cointegration to Fractional Autoregressive Processes," Discussion Papers 10-28, University of Copenhagen. Department of Economics.
    2. Arvid Raknerud, 2001. "A State Space Approach for Estimating VAR Models for Panel Data with Latent Dynamic Components," Discussion Papers 295, Statistics Norway, Research Department.
    3. repec:bla:istatr:v:85:y:2017:i:3:p:519-541 is not listed on IDEAS

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