Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

Abstract

Matematisk Statistik

@article{b1e8b88074d011dbbee902004c4f4f50,

title = "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models",

abstract = "Matematisk Statistik",

author = "S{\o}ren Johansen",

year = "1991",

language = "English",

volume = "59",

pages = "1551--80",

journal = "Econometrica",

issn = "0012-9682",

publisher = "Wiley-Blackwell",

number = "6",

}