TY  - JOUR
TI  - Estimation and Hypothesis Testing of Cointegration Vectors in 
Gaussian Vector Autoregressive Models 
T2  - Econometrica
IS  - 6
KW  - autoregressive models
KW  - likelihood analysis
KW  - structural hypotheses
KW  - авторегрессионная модель
KW  - математическая модель
KW  - эконометрическая модель
AB  - 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. 
AU  - Johansen, Soren
UR  - http://ecsocman.hse.ru/text/18678142/
PY  - 1991
SP  - 1551-1580
M2  - 1551
VL  - 59
SN  - 
N1  - 
LA  - EN
CY  - 
PB  - 
M3  - 
LB  - 
VL  - 
ER  -