DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND

被引:380
作者
JOHANSEN, S [1 ]
机构
[1] UNIV HELSINKI,DEPT STAT,SF-00100 HELSINKI 10,FINLAND
关键词
D O I
10.1111/j.1468-0084.1992.tb00008.x
中图分类号
F [经济];
学科分类号
02 ;
摘要
[No abstract available]
引用
收藏
页码:383 / 397
页数:15
相关论文
共 9 条
[1]   NESTED REDUCED-RANK AUTOREGRESSIVE MODELS FOR MULTIPLE TIME-SERIES [J].
AHN, SK ;
REINSEL, GC .
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1988, 83 (403) :849-856
[2]   ESTIMATING LINEAR RESTRICTIONS ON REGRESSION COEFFICIENTS FOR MULTIVARIATE NORMAL DISTRIBUTIONS [J].
ANDERSON, TW .
ANNALS OF MATHEMATICAL STATISTICS, 1951, 22 (03) :327-351
[3]  
BERGER RL, 1984, J AM STAT ASSOC, V79, P158
[4]   COINTEGRATION AND ERROR CORRECTION - REPRESENTATION, ESTIMATION, AND TESTING [J].
ENGLE, RF ;
GRANGER, CWJ .
ECONOMETRICA, 1987, 55 (02) :251-276
[5]   MAXIMUM-LIKELIHOOD-ESTIMATION AND INFERENCE ON COINTEGRATION - WITH APPLICATIONS TO THE DEMAND FOR MONEY [J].
JOHANSEN, S ;
JUSELIUS, K .
OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 1990, 52 (02) :169-210
[7]   STATISTICAL-ANALYSIS OF COINTEGRATION VECTORS [J].
JOHANSEN, S .
JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 1988, 12 (2-3) :231-254
[8]  
JOHANSEN S, 1991, IN PRESS J ECONOMETR
[9]   TESTING FOR UNIT ROOTS IN TIME-SERIES DATA [J].
PANTULA, SG .
ECONOMETRIC THEORY, 1989, 5 (02) :256-271