Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- 1 November 1991
- journal article
- Published by JSTOR in Econometrica
- Vol. 59 (6) , 1551
- https://doi.org/10.2307/2938278
Abstract
The purpose of this paper is to present the likelihood methods for the analysis of cointegration in VAR models with Gaussian errors, seasonal dummies, and const...This publication has 0 references indexed in Scilit: