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Testing cointegrating coefficients in vector autoregressive error correction models

  • Hansen, Gerd
  • Kim, Jeong-Ryeol
  • Mittnik, Stefan

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File URL: http://www.sciencedirect.com/science/article/B6V84-3T51RH8-18/2/07e693861eaf2c280016d433fa87e32b
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 58 (1998)
Issue (Month): 1 (January)
Pages: 1-5

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Handle: RePEc:eee:ecolet:v:58:y:1998:i:1:p:1-5
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. 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.
  2. 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.
  3. 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.
  4. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  5. Saikkonen, Pentti, 1991. "Asymptotically Efficient Estimation of Cointegration Regressions," Econometric Theory, Cambridge University Press, vol. 7(01), pages 1-21, March.
  6. Peter C.B. Phillips, 1988. "Optimal Inference in Cointegrated Systems," Cowles Foundation Discussion Papers 866R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1989.
  7. 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.
  8. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  9. Dolado, Juan J., 1992. "A note on weak exogeneity in VAR cointegrated models," Economics Letters, Elsevier, vol. 38(2), pages 139-143, February.
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