The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model
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DOI: 10.1111/j.1467-9892.2003.00328.x
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- Soren JOHANSEN, 2001. "The Asymptotic Variance of the Estimated Roots in a Cointegrated Vector Autoregressive Model," Economics Working Papers ECO2001/01, European University Institute.
References listed on IDEAS
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Cited by:
- Onatski, Alexei & Uhlig, Harald, 2012.
"Unit Roots In White Noise,"
Econometric Theory, Cambridge University Press, vol. 28(3), pages 485-508, June.
- Onatski, Alexei & Uhlig, Harald, 2009. "Unit Roots in White Noise," MPRA Paper 14057, University Library of Munich, Germany.
- Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002.
"Separation, Weak Exogeneity, And P-T Decomposition In Cointegrated Var Systems With Common Features,"
Econometric Reviews, Taylor & Francis Journals, vol. 21(3), pages 273-307.
- Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002. "Separation, Weak Exogeneity and P-T Decomposition in Cointegrated VAR Systems with Common Features," CESifo Working Paper Series 660, CESifo.
- Mauricio, Jose Alberto, 2006. "Exact maximum likelihood estimation of partially nonstationary vector ARMA models," Computational Statistics & Data Analysis, Elsevier, vol. 50(12), pages 3644-3662, August.
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