MAXIMUM-LIKELIHOOD-ESTIMATION AND INFERENCE ON COINTEGRATION - WITH APPLICATIONS TO THE DEMAND FOR MONEY

被引:5903
作者
JOHANSEN, S [1 ]
JUSELIUS, K [1 ]
机构
[1] UNIV COPENHAGEN,INST ECON,DK-1168 COPENHAGEN,DENMARK
关键词
D O I
10.1111/j.1468-0084.1990.mp52002003.x
中图分类号
F [经济];
学科分类号
02 ;
摘要
[No abstract available]
引用
收藏
页码:169 / 210
页数:42
相关论文
共 32 条
[1]  
AHN SK, 1987, ESTIMATION PARTIALLY
[2]  
Anderson T., 1984, INTRO MULTIVARIATE S
[3]  
BOX GEP, 1981, BIOMETRIKA, V64, P355
[4]  
DAVIDSON J, 1986, COINTEGRATION LINEAR
[5]  
DOLADO JJ, 1988, UNPUB COINTEGRATION
[6]   COINTEGRATION AND ERROR CORRECTION - REPRESENTATION, ESTIMATION, AND TESTING [J].
ENGLE, RF ;
GRANGER, CWJ .
ECONOMETRICA, 1987, 55 (02) :251-276
[7]  
FULLER WA, 1976, INTRO STATISTICAL TI
[8]   SOME PROPERTIES OF TIME-SERIES DATA AND THEIR USE IN ECONOMETRIC-MODEL SPECIFICATION [J].
GRANGER, CWJ .
JOURNAL OF ECONOMETRICS, 1981, 16 (01) :121-130
[9]  
Granger CWJ, 1983, STUDIES ECONOMETRICS, P255, DOI DOI 10.1016/B978-0-12-398750-1.50018-8
[10]   EFFICIENT TESTS FOR NORMALITY, HOMOSCEDASTICITY AND SERIAL INDEPENDENCE OF REGRESSION RESIDUALS [J].
JARQUE, CM ;
BERA, AK .
ECONOMICS LETTERS, 1980, 6 (03) :255-259