Exact maximum likelihood estimation of partially nonstationary vector ARMA models
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- Saikkonen, Pentti & Luukkonen, Ritva, 1997. "Testing cointegration in infinite order vector autoregressive processes," Journal of Econometrics, Elsevier, vol. 81(1), pages 93-126, November.
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- 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.
- 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.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Lutkepohl, Helmut & Claessen, Holger, 1997. "Analysis of cointegrated VARMA processes," Journal of Econometrics, Elsevier, vol. 80(2), pages 223-239, October.
- Mackinnon, J.G. & Haug, A.A. & Michelis, L., 1996.
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- 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.
- James G. MacKinnon & Alfred A. Haug & Leo Michelis, 1996. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," Working Papers 1996_07, York University, Department of Economics.
- Saikkonen, Pentti & Lütkepohl, HELMUT, 1996. "Infinite-Order Cointegrated Vector Autoregressive Processes," Econometric Theory, Cambridge University Press, vol. 12(05), pages 814-844, December.
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