The DOI matches its Crossref record; 18 of the 18 references it cites were found in a registry or an index.
A Stastistical Analysis of Cointegration for I(2) Variables
Abstract
This paper discusses inference for I(2) variables in a VAR model. The estimation procedure suggested consists of two reduced rank regressions. The asymptotic distribution of the proposed estimators of the cointegrating coefficients is mixed Gaussian, which implies that asymptotic inference can be conducted using the χ 2 distribution. It is shown to what extent inference on the cointegration ranks can be conducted using the tables already prepared for the analysis of cointegration of I(1) variables. New tables are needed for the test statistics to control the size of the tests. This paper contains a multivariate test for the existence of I(2) variables. This test is illustrated using a data set consisting of U.K. and foreign prices and interest rates as well as the exchange rate.
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Cites
Co-integration and error correction: representation, estimation and testing
Engle, R. F., & Granger, C. W. J. (1987) · Econometrica · doi:10.2307/1913236 · Cited by 32,007
STATISTICAL ANALYSIS OF COINTEGRATION VECTORS
Johansen, S. (1988) · Journal of Economic Dynamics and Control · doi:10.1016/0165-1889(88)90041-3 · Cited by 17,027
Self-citationJohansen, S., & Juselius, K. (1990) · Oxford Bulletin of Economics and Statistics · doi:10.1111/j.1468-0084.1990.mp52002003.x · Cited by 14,051
Self-citationEstimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
Johansen, S. (1991) · Econometrica · doi:10.2307/2938278 · Cited by 11,116
Self-citationA Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
Stock, J. H., & Watson, M. W. (1993) · Econometrica · doi:10.2307/2951763 · Cited by 5,013
Martingale Limit Theory and its Application.
Loynes, R. M., Hall, P., & Heyde, C. C. (1984) · Journal of the Royal Statistical Society. Series A (General) · doi:10.2307/2981599 · Cited by 2,685
Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
Johansen, S., & Juselius, K. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90086-7 · Cited by 1,659
Self-citationOptimal Inference in Cointegrated Systems
Phillips, P. C. B. (1991) · Econometrica · doi:10.2307/2938258 · Cited by 1,099
DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND
Johansen, S. (1992) · Oxford Bulletin of Economics and Statistics · doi:10.1111/j.1468-0084.1992.tb00008.x · Cited by 1,011
Self-citationAsymptotics for Linear Processes
Phillips, P. C. B., & Solo, V. (1992) · The Annals of Statistics · doi:10.1214/aos/1176348666 · Cited by 889
Cited by
Explaining Cointegration Analysis: Part 1
Hendry, D. F., & Juselius, K. (2000) · The Energy Journal · doi:10.5547/issn0195-6574-ej-vol21-no1-1 · Cited by 303
Azam, W., Khan, I., & Ali, S. A. (2023) · Environmental Science and Pollution Research · doi:10.1007/s11356-022-22334-z · Cited by 279
Metadata
- Authors
- Johansen, S.
- Venue
- Econometric Theory
- Publisher
- Cambridge University Press (CUP)
- Published
- 1995-02
- Volume
- 11
- Issue
- 1
- Pages
- 25-59
- ISSN
- 0266-4666 (ISSN-L)
- 1469-4360
- OpenAlex
- W1992209381
- Cited by
- 349
- References
- 18
- FWCI
- 40.16
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
