Testing cointegrating coefficients in vector autoregressive error correction models
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- Johansen, Soren & Juselius, Katarina, 1994.
"Identification of the long-run and the short-run structure an application to the ISLM model,"
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- Søren Johansen & Katarina Juselius, 1992. "Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model," Discussion Papers 92-04, University of Copenhagen. Department of Economics.
- Mittnik, Stefan & Rachev, Svetlozar T. & Kim, Jeong-Ryeol, 1998. "Chi-Square-Type Distributions For Heavy-Tailed Variates," Econometric Theory, Cambridge University Press, vol. 14(03), pages 339-354, June.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Phillips, P C B, 1991.
"Optimal Inference in Cointegrated Systems,"
Econometric Society, vol. 59(2), pages 283-306, March.
- Peter C.B. Phillips, 1992.
"Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models,"
Cowles Foundation Discussion Papers
1039, Cowles Foundation for Research in Economics, Yale University.
- Phillips, Peter C B, 1994. "Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models," Econometrica, Econometric Society, vol. 62(1), pages 73-93, January.
- Saikkonen, Pentti, 1991. "Asymptotically Efficient Estimation of Cointegration Regressions," Econometric Theory, Cambridge University Press, vol. 7(01), pages 1-21, March.
- Dolado, Juan J., 1992. "A note on weak exogeneity in VAR cointegrated models," Economics Letters, Elsevier, vol. 38(2), pages 139-143, February.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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