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Browsing Department of Economics (ECO) by Author "JOHANSEN, Soren"
Now showing items 1-16 of 16
Title:A Note on Testing Restrictions for the Cointegration Parameters of a VAR with I(2)
Variables
Author(s):JOHANSEN, Soren; LUETKEPOHL, HelmutDate:2005Type of Publication:ArticleAbstract:We give a brief introduction to the vector autoregressive model for cointegrated I(2) variables and show how some plausible economic relations can be formulated in the I(2) framework in such a way that likelihood ratio ...
Title:A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors
Author(s):JOHANSEN, SorenDate:2002Type of Publication:ArticleAbstract:The main purpose of the analysis of the cointegrated VAR model is conducting inference on the cointegrating relations. Asymptotic inference is chi(2), but the asymptotic results are not accurate enough for small samples. ...
Title:A Bartlett Correction Factor for Tests On the Cointegrating Relations
Author(s):JOHANSEN, SorenDate:2000Type of Publication:ArticleAbstract:Likelihood ratio tests for restrictions on cointegrating vectors are asymptotically chi (2) distributed. For some values of the parameters this asymptotic distribution does not give a good approximation to the finite sample ...
Title:Modelling of Cointegration in the Vector Autoregressive Model
Author(s):JOHANSEN, SorenDate:2000Type of Publication:ArticleAbstract:A survey is given of some results obtained for the cointegrated VAR. The Granger representation theorem is discussed and the notions of cointegration and common trends are defined. The statistical model for cointegrated ...
Title:Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models
Author(s):JOHANSEN, Soren; SWENSEN, Anders RyghDate:1999Type of Publication:ArticleAbstract:This paper considers the testing of restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables. If the rational expectations involve one-step-ahead observations ...
Title:Likelihood Analysis of Seasonal Cointegration
Author(s):JOHANSEN, Soren; SCHAUMBURG, ErnstDate:1999Type of Publication:ArticleAbstract:The error correction model for seasonal cointegration is analyzed. Conditions are found under which the process is integrated of order I and cointegrated at seasonal frequency, and a representation theorem is given. The ...
Title:Asymptotic Inference on Cointegrating Rank in Partial Systems
Author(s):HARBO, Ingrid; JOHANSEN, Soren; NIELSEN, Bent; RAHBEK, AndersDate:1998Type of Publication:ArticleAbstract:The likelihood ratio test for cointegrating rank is analyzed for partial (or conditional) systems in the vector autoregressive error-correction model. Under the assumption of weak exogeneity for the cointegrating parameters, ...
Title:Likelihood Analysis of the I(2) Model
Author(s):JOHANSEN, SorenDate:1997Type of Publication:ArticleAbstract:The I(2) model is defined as a submodel of the general vector autoregressive model, by two reduced rank conditions. The model describes stochastic processes with stationary second difference. A parametrization is suggested ...
