Эксоцман
на главную поиск contacts

Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

Опубликовано на портале: 06-04-2004
Econometrica. 1991.  Vol. 59. No. 6. P. 1551-1580. 
Тематический раздел:
This paper contains the likelihood analysis of vector autoregressive models allowing for cointegration. The author derives the likelihood ratio test for cointegrating rank and finds it asymptotic distribution. He shows that the maximum likelihood estimator of the cointegrating relations can be found by reduced rank regression and derives the likelihood ratio test of structural hypotheses about these relations. The author shows that the asymptotic distribution of the maximum likelihood estimator is mixed Gaussian, allowing inference for hypotheses on the cointegrating relation to be conducted using the Chi(" squared") distribution. Copyright 1991 by The Econometric Society.

Ссылки
текст статьи находится на сайте EconPapers:
http://econpapers.hhs.se/article/ecmemetrp/v_3A59_3Ay_3A1991_3Ai_3A6_3Ap_3A1551-80.htm
текст статьи находится на сайте автора:
http://www.math.ku.dk/~sjo/papers/publications.html
BiBTeX
RIS
Ключевые слова

См. также:
Greta M. Ljung, George E.P. Box
Biometrika. 1979.  Vol. 66. No. 2. P. 265-270. 
[Статья]
Сергей Вениаминович Жак
TERRA ECONOMICUS. 2003.  Т. 1. № 3. С. 95-97. 
[Статья]
Orley C. Ashenfelter, David Zimmerman, Philip Levine
[Книга]
Harry H. Kelejian
Journal of Econometrics. 1982.  Vol. 20. No. 2. P. 325-333. 
[Статья]
Whitney K. Newey, Kenneth D. West
International Economic Review. 1987.  Vol. 28. No. 3. P. 777-787. 
[Статья]