Modelling cointegration in the vector autoregressive model

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Modelling cointegration in the vector autoregressive model. / Johansen, Søren.

I: Economic Modelling, Bind 17, Nr. 3, 2000, s. 359-373.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Johansen, S 2000, 'Modelling cointegration in the vector autoregressive model', Economic Modelling, bind 17, nr. 3, s. 359-373. https://doi.org/10.1016/S0264-9993(99)00043-7

APA

Johansen, S. (2000). Modelling cointegration in the vector autoregressive model. Economic Modelling, 17(3), 359-373. https://doi.org/10.1016/S0264-9993(99)00043-7

Vancouver

Johansen S. Modelling cointegration in the vector autoregressive model. Economic Modelling. 2000;17(3):359-373. https://doi.org/10.1016/S0264-9993(99)00043-7

Author

Johansen, Søren. / Modelling cointegration in the vector autoregressive model. I: Economic Modelling. 2000 ; Bind 17, Nr. 3. s. 359-373.

Bibtex

@article{db6c7370ed2a11ddbf70000ea68e967b,
title = "Modelling cointegration in the vector autoregressive model",
abstract = "A survey is given of some results obtained for the cointegrated VAR. The Granger representation theorem is discussed and the notions of cointegration and common trends are defined. The statistical model for cointegrated I(1) variables is defined, and it is shown how hypotheses on the cointegrating relations can be estimated under suitable identification conditions. The asymptotic theory is briefly mentioned and a few economic applications of the cointegration model are indicated.",
author = "S{\o}ren Johansen",
year = "2000",
doi = "10.1016/S0264-9993(99)00043-7",
language = "English",
volume = "17",
pages = "359--373",
journal = "Economic Modelling",
issn = "0264-9993",
publisher = "Elsevier",
number = "3",

}

RIS

TY - JOUR

T1 - Modelling cointegration in the vector autoregressive model

AU - Johansen, Søren

PY - 2000

Y1 - 2000

N2 - A survey is given of some results obtained for the cointegrated VAR. The Granger representation theorem is discussed and the notions of cointegration and common trends are defined. The statistical model for cointegrated I(1) variables is defined, and it is shown how hypotheses on the cointegrating relations can be estimated under suitable identification conditions. The asymptotic theory is briefly mentioned and a few economic applications of the cointegration model are indicated.

AB - A survey is given of some results obtained for the cointegrated VAR. The Granger representation theorem is discussed and the notions of cointegration and common trends are defined. The statistical model for cointegrated I(1) variables is defined, and it is shown how hypotheses on the cointegrating relations can be estimated under suitable identification conditions. The asymptotic theory is briefly mentioned and a few economic applications of the cointegration model are indicated.

U2 - 10.1016/S0264-9993(99)00043-7

DO - 10.1016/S0264-9993(99)00043-7

M3 - Journal article

VL - 17

SP - 359

EP - 373

JO - Economic Modelling

JF - Economic Modelling

SN - 0264-9993

IS - 3

ER -

ID: 9968785