Department of Economics and Business Economics

Times Series: Cointegration

Research output: Working paperResearch

Standard

Times Series : Cointegration. / Johansen, Søren.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

Research output: Working paperResearch

Harvard

Johansen, S 2014 'Times Series: Cointegration' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Johansen, S. (2014). Times Series: Cointegration. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2014-38

CBE

Johansen S. 2014. Times Series: Cointegration. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Johansen, Søren Times Series: Cointegration. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2014-38). 2014., 18 p.

Vancouver

Johansen S. Times Series: Cointegration. Aarhus: Institut for Økonomi, Aarhus Universitet. 2014 Oct 27.

Author

Johansen, Søren. / Times Series : Cointegration. Aarhus : Institut for Økonomi, Aarhus Universitet, 2014. (CREATES Research Papers; No. 2014-38).

Bibtex

@techreport{e08cc585dbbf4d27b61b7e4f80c0da56,
title = "Times Series: Cointegration",
abstract = "An overvies of results for the cointegrated VAR model for nonstationary I (1) variables is given. The emphasis is on the analysis of the model and the tools for asymptotic inference. These include: formulation of criteria on the parameters, for the process to be nonstationary and I (1), formulation of hypotheses of interest on the rank, the cointegrating relations and the adjustment coefficients. A discussion of the asymptotic distribution results that are used for inference. The results are illustrated by a few examples. A number of extensions of the theory are pointed out.",
keywords = "adjustment coefficients, cointegrating relations, cointegration, cointegrated vector autoregressive model, Dickey-Fuller distributions, error correction models, econometric analysis of macroeconomic data, likelihood inference, mixed Gaussian distribution, nonstationarity, Adjustment coefficients, Cointegrating relations, Cointegration, Cointegrated vector autoregressive model, Dickey-Fuller distributions, Error correction models, Econometric analysis of macroeconomic data, Likelihood inference, Mixed Gaussian distribution, Nonstationarity",
author = "S{\o}ren Johansen",
year = "2014",
month = oct,
day = "27",
language = "English",
series = "CREATES Research Papers",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
number = "2014-38",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Times Series

T2 - Cointegration

AU - Johansen, Søren

PY - 2014/10/27

Y1 - 2014/10/27

N2 - An overvies of results for the cointegrated VAR model for nonstationary I (1) variables is given. The emphasis is on the analysis of the model and the tools for asymptotic inference. These include: formulation of criteria on the parameters, for the process to be nonstationary and I (1), formulation of hypotheses of interest on the rank, the cointegrating relations and the adjustment coefficients. A discussion of the asymptotic distribution results that are used for inference. The results are illustrated by a few examples. A number of extensions of the theory are pointed out.

AB - An overvies of results for the cointegrated VAR model for nonstationary I (1) variables is given. The emphasis is on the analysis of the model and the tools for asymptotic inference. These include: formulation of criteria on the parameters, for the process to be nonstationary and I (1), formulation of hypotheses of interest on the rank, the cointegrating relations and the adjustment coefficients. A discussion of the asymptotic distribution results that are used for inference. The results are illustrated by a few examples. A number of extensions of the theory are pointed out.

KW - adjustment coefficients, cointegrating relations, cointegration, cointegrated vector autoregressive model, Dickey-Fuller distributions, error correction models, econometric analysis of macroeconomic data, likelihood inference, mixed Gaussian distribution,

KW - Adjustment coefficients

KW - Cointegrating relations

KW - Cointegration

KW - Cointegrated vector autoregressive model

KW - Dickey-Fuller distributions

KW - Error correction models

KW - Econometric analysis of macroeconomic data

KW - Likelihood inference

KW - Mixed Gaussian distribution

KW - Nonstationarity

M3 - Working paper

T3 - CREATES Research Papers

BT - Times Series

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -