Testing cointegrating coefficients in vector autoregressive error correction models-Reference-Cited by-同舟云学术

Testing cointegrating coefficients in vector autoregressive error correction models

Published:1998-01 Issue:1 Volume:58 Page:1-5
ISSN:0165-1765
Container-title:Economics Letters
language:en
Short-container-title:Economics Letters

Author:

Hansen Gerd,Kim Jeong-Ryeol,Mittnik Stefan

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference13 articles.

1. Estimation for partially nonstationary multivariate autoregressive models;Ahn;Journal of the American Statistical Association,1990

2. A note on weak exogeneity in VAR cointegrated models;Dolado;Economics Letters,1992

3. Cointegration and error correction: Representation, estimation and testing;Engle;Econometrica,1987

4. Investigating causal relations by econometric models and cross spectral methods;Granger;Econometrica,1969

5. Hansen, G., Kim, J.-R., 1996. The reliability of the Johansen-procedure. Discussion Paper 91/1996, Institute of Statistics and Econometrics, Christian Albrechts University at Kiel, Germany.

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