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Hypothesis Testing for Cointegration Vectors: with Application to the Demand for Money in Denmark and Finland

Author

Listed:
  • Søren Johansen

    (Institute of Mathematical Statistics, University of Copenhagen)

  • Katarina Juselius

    (Institute of Economics, University of Copenhagen)

Abstract

The purpose of this paper is to give a systematic account of the maximum likelihood inference concerning cointegration vectors in non-stationary vector value autoregressive time series with Gaussian errors. The hypothesis of r cointegration vectors is given a simple parametric formulation in terms of cointegration vectors and their weights. We then estimate and test linear hypotheses about these. We find that the asymptotic inference for the linear hypotheses can be performed by applying the usual ² test. We also give some very simple Wald test and their asymptotic properties. The methids are illustrated by data from the Danish and the Finnish economy on the demand for money.

Suggested Citation

  • Søren Johansen & Katarina Juselius, 1988. "Hypothesis Testing for Cointegration Vectors: with Application to the Demand for Money in Denmark and Finland," Discussion Papers 88-05, University of Copenhagen. Department of Economics.
    • Handle: RePEc:kud:kuiedp:8805
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    Cited by:

    1. Nouran Abdelhamid Abdelgawwad & Abdelmonem Lotfy Mohamed Kamal, 2023. "Contributions of Investment and Employment to the Agricultural GDP Growth in Egypt: An ARDL Approach," Economies, MDPI, vol. 11(8), pages 1-16, August.
    2. Sunil Mohanty & Edward Aw, 2006. "Rationality of analysts' earnings forecasts: evidence from dow 30 companies," Applied Financial Economics, Taylor & Francis Journals, vol. 16(12), pages 915-929.
    3. Tajudeen, Egbetunda & Taofeek Olusola, Ayinde & AbdulGaniy Ademola, Balogun, 2017. "Interest Rate Liberalization, Financial Development and Economic Growth in subSaharan African Economies," African Journal of Economic Review, African Journal of Economic Review, vol. 5(2), July.
    4. Adeyemi A. Ogundipe & Opeyemi Akinyemi & Oluwatomisin M. Ogundipe, 2016. "Electricity Consumption and Economic Development in Nigeria," International Journal of Energy Economics and Policy, Econjournals, vol. 6(1), pages 134-143.
    5. Manamba EPAPHRA, 2016. "Foreign Direct Investment and Sectoral Performance in Tanzania," Journal of Economics and Political Economy, KSP Journals, vol. 3(4), pages 670-719, December.
    6. Emeka Nkoro & Aham Kelvin Uko, 2016. "Autoregressive Distributed Lag (ARDL) cointegration technique: application and interpretation," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 5(4), pages 1-3.
    7. Vogelvang, E., 1990. "Testing for co-integration with spot prices of some related agricultural commodities," Serie Research Memoranda 0001, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    8. Hong, Jae-pyo, 2017. "Causal relationship between ICT R&D investment and economic growth in Korea," Technological Forecasting and Social Change, Elsevier, vol. 116(C), pages 70-75.
    9. Suwareh Darbo & Amandine Nakumuryango, 2018. "Working Paper 305 - Inflation Dynamics In Post-Secession Sudan," Working Paper Series 2432, African Development Bank.
    10. Yu-Wei Lan & Dan Lin & Lu Lin, 2017. "Why are the Performances of Business Groups Different? A Case Study of Formosa Plastics Group and Far Eastern Group," Asian Journal of Economics and Empirical Research, Asian Online Journal Publishing Group, vol. 4(2), pages 106-120.
    11. Garey Ramey & Valerie A. Ramey, 1991. "Technology Commitment and the Cost of Economic Fluctuations," NBER Working Papers 3755, National Bureau of Economic Research, Inc.
    12. Tinsae Demise & Valéri Natanelov & Wim Verbeke & Marijke D’Haese, 2017. "Empirical Investigation into Spatial Integration Without Direct Trade: Comparative Analysis Before and After the Establishment of the Ethiopian Commodity Exchange," Journal of Development Studies, Taylor & Francis Journals, vol. 53(4), pages 565-583, April.
    13. Isabell Koske, 2008. "Assessing the Equilibrium Exchange Rate of the Malaysian Ringgit: A Comparison of Alternative Approaches," Asian Economic Journal, East Asian Economic Association, vol. 22(2), pages 179-208, June.
    14. Catherine Doz & Pierre Malgrange, 1992. "Modèles VAR et prévisions à court terme," Économie et Prévision, Programme National Persée, vol. 106(5), pages 109-122.
    15. Vogelvang, E., 1990. "Hypotheses testing concerning relationship between spot prices of various types of coffee," Serie Research Memoranda 0012, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    16. Manamba EPAPHRA & Evidence SALEMA, 2018. "The impact of macroeconomic variables on stock prices in Tanzania," Journal of Economics Library, KSP Journals, vol. 5(1), pages 12-41, March.
    17. International Monetary Fund, 2007. "Angola: Selected Issues and Statistical Appendix," IMF Staff Country Reports 2007/355, International Monetary Fund.
    18. Daniela Federici & Daniela Marconi, 2001. "On exports and economic growth: the case of Italy," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 11(3), pages 323-340.
    19. Yilmaz Bayar & Abdulkadir Kaya & Murat Yildirim, 2014. "Effects of Stock Market Development on Economic Growth: Evidence from Turkey," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 5(1), pages 93-100, January.
    20. Elmer Cuba & Rafael Herrada, 1995. "Demanda de Dinero, Inflación y Política Monetaria en el Perú: 1991-1994," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 32(97), pages 347-378.
    21. Christian Ragacs, 2003. "On the Empirics of Minimum Wages and Employment: Stylized Facts for The Austrian Industry," Working Papers geewp24, Vienna University of Economics and Business Research Group: Growth and Employment in Europe: Sustainability and Competitiveness.

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