Publications
2 shownEstimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
This paper contains the likelihood analysis of vector autoregressive models allowing for cointegration. The author derives the likelihood ratio test for cointegrating rank and f...
Researcher Info
- h-index
- 2
- Publications
- 2
- Citations
- 27,481
- Institution
- University of Copenhagen
External Links
Identifiers
- ORCID
- 0000-0002-9285-8236
Impact Metrics
h-index
2
h-index: Number of publications with at least h citations each.