DMCA
Statistical Analysis of Cointegrated Vectors (1988)
| Venue: | Journal of Economic Dynamics and Control |
| Citations: | 2744 - 11 self |
BibTeX
@ARTICLE{Johansen88statisticalanalysis,
author = {Soren Johansen},
title = {Statistical Analysis of Cointegrated Vectors},
journal = {Journal of Economic Dynamics and Control},
year = {1988}
}
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Abstract
We consider a nonstationary vector autoregressive process which is integrated of order 1, and generated by i.i.d. Gaussian errors. We then derive the maximum likelihood estimator of the space of cointegration vectors and the likelihood ratio test of the hypothesis that it has a given number of dimensions. Further we test linear hypotheses about the cointegration vectors. The asymptotic distribution of these test statistics are found and the first is described by a natural multivariate version of the usual test for unit root in an autoregressive process, and the other is a x2 test. 1.
Keyphrases
cointegrated vector statistical analysis cointegration vector test statistic autoregressive process natural multivariate version maximum likelihood estimator nonstationary vector autoregressive process unit root usual test linear hypothesis x2 test asymptotic distribution gaussian error likelihood ratio test
