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Identifying restrictions of linear equations with applications to simultaneous equations and cointegration

  • Johansen, Soren

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4007D8M-B/2/51ee37234475da01edbbf6ec9408320c
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 69 (1995)
Issue (Month): 1 (September)
Pages: 111-132

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Handle: RePEc:eee:econom:v:69:y:1995:i:1:p:111-132
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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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. McManus, Douglas A., 1992. "How common is identification in parametric models?," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 5-23.
  3. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  4. 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.
  5. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March.
  6. Juselius, Katarina, 1995. "Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time-series model," Journal of Econometrics, Elsevier, vol. 69(1), pages 211-240, September.
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