Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models
- Author
- JOHANSEN, S
Inst. mathematical statistics, 2100 Copenhagen, Denmark - Source
Econometrica. 1991, Vol 59, Num 6, pp 1551-1580 ; ref : 1 p.1/2
- CODEN
- ECMTA7
- ISSN
- 0012-9682
- Scientific domain
- Control theory, operational research; Mathematics
- Publisher
- Blackwell, Malden, MA
- Publication country
- United States
- Document type
- Article
- Language
- English
- Keyword (fr)
- Comportement asymptotique Correction erreur Khi deux Maximum vraisemblance Modèle autorégressif Problème valeur propre Statistique test Test hypothèse Test rapport vraisemblance Théorie probabilité Cointégration
- Keyword (en)
- Asymptotic behavior Error correction Chi square Maximum likelihood Autoregressive model Eigenvalue problem Test statistic Hypothesis test Likelihood ratio test Probability theory
- Keyword (es)
- Comportamiento asintótico Corrección error Ji cuadrado Maxima verosimilitud Modelo autorregresivo Problema valor propio Estadística test Test hipótesis Test razón verosimilitud Teoría probabilidad
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 5392023
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.2307/2938278 
https://dx.doi.org/10.2307/2938278
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