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Likelihood analysis of the I(2) model
Søren Johansen
Department of Economics
Department of Mathematical Sciences
88
Citations (Scopus)
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Dive into the research topics of 'Likelihood analysis of the I(2) model'. Together they form a unique fingerprint.
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Mathematics
Maximum Likelihood Estimator
73%
Asymptotic distribution
73%
Likelihood
72%
Vector Autoregressive Model
61%
Reduced Rank
59%
Likelihood Inference
51%
Parametrization
40%
Stochastic Processes
35%
Model
27%
Business & Economics
Maximum Likelihood Estimator
100%
Asymptotic Distribution
98%
Vector Autoregressive Model
45%
Stochastic Processes
44%
Inference
34%