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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 Vector Autoregressive Model

Chapter:
(p. 11 ) 2 The Vector Autoregressive Model
Source:
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
Author(s):

Søren Johansen (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/0198774508.003.0002

Deals with the classical statistical analysis of the unrestricted vector autoregressive model. We give a necessary and sufficient condition for stationarity and a representation for the stationary solution. We derive the ordinary least squares estimators as maximum likelihood estimator and find the asymptotic properties of the estimators for stationary processes to compare them with the results for non‐stationary processes. Finally, we give a brief description of some misspecification tests for the unrestricted model and analyse two real‐life examples.

Keywords:   misspecification tests, stationary solution, vector autoregressive model

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