The Asymptotic Variance of the Estimated Roots in a Cointegrated Vector Autoregressive Model

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The Asymptotic Variance of the Estimated Roots in a Cointegrated Vector Autoregressive Model

JOHANSEN, Soren
Title: The Asymptotic Variance of the Estimated Roots in a Cointegrated Vector Autoregressive Model
Author: JOHANSEN, Soren
Date: 2001
Publisher: European University Institute
Series/Report no.: EUI ECO; 2001/01
URI: http://hdl.handle.net/1814/755

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  • ECO Working Papers
    Working Papers of the Economics Department of the EUI. ISSN 1725-6704