The role of the drift in I(2) systems
No abstract is available for this item.
Volume (Year): 3 (1994)
Issue (Month): 1 (February)
|Contact details of provider:|| Web page: http://link.springer.de/link/service/journals/10260/index.htm|
|Order Information:||Web: http://link.springer.de/orders.htm|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Johansen, S., 1991.
"Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data,"
78, Helsinki - Department of Economics.
- Johansen, Soren, 1992. "Testing weak exogeneity and the order of cointegration in UK money demand data," Journal of Policy Modeling, Elsevier, vol. 14(3), pages 313-334, June.
- Paruolo, Paolo, 2002.
"Asymptotic Inference On The Moving Average Impact Matrix In Cointegrated I (2) Var Systems,"
Cambridge University Press, vol. 18(03), pages 673-690, June.
- Paruolo, Paolo, 1997. "Asymptotic Inference on the Moving Average Impact Matrix in Cointegrated 1(1) VAR Systems," Econometric Theory, Cambridge University Press, vol. 13(01), pages 79-118, February.
- Johansen, Søren, 1992. "A Representation of Vector Autoregressive Processes Integrated of Order 2," Econometric Theory, Cambridge University Press, vol. 8(02), pages 188-202, June.
- Gregoir, Stéphane & Laroque, Guy, 1993. "Multivariate Time Series: A Polynomial Error Correction Representation Theorem," Econometric Theory, Cambridge University Press, vol. 9(03), pages 329-342, June.
- Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
- Phillips, P C B, 1991.
"Optimal Inference in Cointegrated Systems,"
Econometric Society, vol. 59(2), pages 283-306, March.
- Paruolo, Paolo, 1996. "On the determination of integration indices in I(2) systems," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 313-356.
When requesting a correction, please mention this item's handle: RePEc:spr:stmapp:v:3:y:1994:i:1:p:93-123. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn)or (Christopher F Baum)
If references are entirely missing, you can add them using this form.