Workbook on Cointegration

by Peter Reinhard Hansen, Soren Johansen

Overview

This workbook consists of exercises taken from Likelihood-Based Inferences in Cointegrated Vector Autoregressive Models by Soren Johansen, together with worked-out solutions.

Product Details

ISBN-13:	9780198776079
Publisher:	Oxford University Press, USA
Publication date:	09/28/1998
Series:	Advanced Texts in Econometrics Series
Product dimensions:	9.10(w) x 6.10(h) x 0.60(d)
Lexile:	1570L (what's this?)

About the Author

University of California

University of Copenhagen

Table of Contents

1. Introduction
2. The Vector Autoregressive Model
3. Basic Definitions and Concepts
4. Cointegration and Representation of Integrated Variables
5. The I (1) Models and Their Interpretation
6. The Statistical Analysis of I (1) Models
7. Hypothesis Testing for the Long-Run Coefficients beta
8. Hypothesis Testing for alpha
9. The I (2) Model and a Test for I (2)
10. Probability Properties of I (1) Processes
11. The Asymptotic Distribution of the Test for Cointegrating Rank
12. Determination of Cointegrating Rank
13. Asymptotic Properties of the Estimators
14. The Power Function of the Test for Cointegrating Rank under Local Alternatives
References