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Exact maximum likelihood estimation of partially nonstationary vector ARMA models

  • Mauricio, Jose Alberto
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    File URL: http://www.sciencedirect.com/science/article/B6V8V-4GSSP8F-1/2/e24f724db6a2b3951b532d15326b0832
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    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 50 (2006)
    Issue (Month): 12 (August)
    Pages: 3644-3662

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    Handle: RePEc:eee:csdana:v:50:y:2006:i:12:p:3644-3662
    Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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    1. Søren Johansen, 2003. "The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(6), pages 663-678, November.
    2. Saikkonen, Pentti & Luukkonen, Ritva, 1997. "Testing cointegration in infinite order vector autoregressive processes," Journal of Econometrics, Elsevier, vol. 81(1), pages 93-126, November.
    3. Lutkepohl, Helmut & Claessen, Holger, 1997. "Analysis of cointegrated VARMA processes," Journal of Econometrics, Elsevier, vol. 80(2), pages 223-239, October.
    4. Bauer, Dietmar & Wagner, Martin, 2002. "Estimating cointegrated systems using subspace algorithms," Journal of Econometrics, Elsevier, vol. 111(1), pages 47-84, November.
    5. MacKinnon, James G & Haug, Alfred A & Michelis, Leo, 1999. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 563-77, Sept.-Oct.
    6. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    7. Kurozumi, Eiji, 2003. "The Rank of a Sub-Matrix of Cointegration," Discussion Papers 2002-15, Graduate School of Economics, Hitotsubashi University.
    8. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March.
    9. Luukkonen, Ritva & Ripatti, Antti & Saikkonen, Pentti, 1999. "Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(2), pages 195-204, April.
    10. 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.
    11. Saikkonen, Pentti & Lütkepohl, HELMUT, 1996. "Infinite-Order Cointegrated Vector Autoregressive Processes," Econometric Theory, Cambridge University Press, vol. 12(05), pages 814-844, December.
    12. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
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