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

Why this mattered¶

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Matematisk Statistik

cite → MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY — Johansen's 1991 paper extends maximum-likelihood inference for cointegration developed in Johansen and Juselius's 1990 money-demand application.
cite → Statistical analysis of cointegration vectors — Johansen's 1991 paper builds on his 1988 likelihood-based statistical analysis of cointegration vectors in vector autoregressive systems.
cite ← MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY — Johansen and Juselius use Johansen's Gaussian VAR likelihood framework for estimating and testing cointegration vectors in their money-demand application.