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Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
Soren Johansen
Soren Johansen
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1 November 1991
journal article
Published by
JSTOR
in
Econometrica
Vol. 59
(6)
,
1551
https://doi.org/10.2307/2938278
Abstract
The purpose of this paper is to present the likelihood methods for the analysis of cointegration in VAR models with Gaussian errors, seasonal dummies, and const...
Cited by 6066 articles