 Hypothesis Testing for Cointegration Vectors: with Application to the Demand for Money in Denmark and FinlandSoren Johansen and Katarina Juselius No 88-05, Discussion Papers from University of Copenhagen. Department of Economics Abstract: The purpose of this paper is to give a systematic account of the maximum likelihood inference concerning cointegration vectors in non-stationary vector value autoregressive time series with Gaussian errors. The hypothesis of r cointegration vectors is given a simple parametric formulation in terms of cointegration vectors and their weights. We then estimate and test linear hypotheses about these. We find that the asymptotic inference for the linear hypotheses can be performed by applying the usual ² test. We also give some very simple Wald test and their asymptotic properties. The methids are illustrated by data from the Danish and the Finnish economy on the demand for money. Keywords: cointegration; error correction; maximum likelihood estimation; likelihood ratio test; vector autoregressive processes; money demand; Denmark; Finland (search for similar items in EconPapers) Published as: "Maximum Likelihood Estimation and Inference on Cointegration - With Applications to the Demand for Money", in: Oxford Bulletin of Economics and Statistics, 1990, 52(2) pp. 169-210 There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:kud:kuiedp:8805 Access Statistics for this paper More papers in Discussion Papers from University of Copenhagen. Department of Economics Oester Farimagsgade 5, Building 26, DK-1353 Copenhagen K., Denmark. Contact information at EDIRC. |
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