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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models$
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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Søren Johansen

Print publication date: 1995

Print ISBN-13: 9780198774501

Published to Oxford Scholarship Online: November 2003

DOI: 10.1093/0198774508.001.0001

The Statistical Analysis of I (1) Models

Chapter:
(p. 89 ) 6 The Statistical Analysis of I (1) Models
Source:
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
Author(s):

Søren Johansen (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/0198774508.003.0006

Contains the likelihood analysis of the I(1) models. The main result is the derivation of the method of reduced rank regression because of Anderson. This solves the estimation problem for the unrestricted cointegration vectors, and hence the problem of deriving a test for cointegrating rank, the so‐called trace test. The reduced rank algorithm is applied to a number of different models defined by restrictions on the deterministic terms.

Keywords:   cointegrating rank, cointegrating vectors, deterministic terms I(1) model, reduced rank regression, trace test

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