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Econometric Reviews Volume 28, 2008 - Issue 1-3
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Original Articles

Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes

Søren Johansen Department of Economics, University of Copenhagen, Copenhagen, DenmarkCorrespondence[email protected]
Pages 121-145 | Published online: 23 Dec 2008

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José Carlos Vides, Mónica Carmona, Julia Feria & Antonio A. Golpe. (2021) Modeling the United States crack spread: Market efficiency, persistence and the Verleger hypothesis. Energy Sources, Part B: Economics, Planning, and Policy 16:10, pages 951-970.
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Massimo Franchi & Paolo Paruolo. (2019) A general inversion theorem for cointegration. Econometric Reviews 38:10, pages 1176-1201.
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CliveG. Bowsher & Roland Meeks. (2013) Stationary and Nonstationary Behaviour of the Term Structure: A Nonparametric Characterization. Applied Mathematical Finance 20:2, pages 137-166.
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Articles from other publishers (36)

Won-Ki Seo. (2022) COINTEGRATION AND REPRESENTATION OF COINTEGRATED AUTOREGRESSIVE PROCESSES IN BANACH SPACES. Econometric Theory, pages 1-52.
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Anders Rygh Swensen. (2021) On causal and non‐causal cointegrated vector autoregressive time series. Journal of Time Series Analysis 43:2, pages 178-196.
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Christian Leschinski, Michelle Voges & Philipp Sibbertsen. (2020) A comparison of semiparametric tests for fractional cointegration. Statistical Papers 62:4, pages 1997-2030.
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José Carlos Vides, Antonio A. Golpe & Jesús Iglesias. (2021) The impact of the term spread in US monetary policy from 1870 to 2013. Journal of Policy Modeling 43:1, pages 230-251.
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Brendan K. Beare & Won-Ki Seo. (2019) REPRESENTATION OF I(1) AND I(2) AUTOREGRESSIVE HILBERTIAN PROCESSES. Econometric Theory 36:5, pages 773-802.
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José Carlos Vides, Antonio A. Golpe & Jesús Iglesias. (2020) The EHTS and the persistence in the spread reconsidered. A fractional cointegration approach. International Review of Economics & Finance 69, pages 124-137.
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Katarzyna Łasak & Johannes Lont. (2019) Observation Driven Long Run Equilibria. Computational Economics 55:2, pages 551-575.
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Rubaiyat Ahsan Bhuiyan, Maya Puspa Rahman, Buerhan Saiti & Gairuzazmi Mat Ghani. (2019) Co-movement dynamics between global sukuk and bond markets. International Journal of Emerging Markets 14:4, pages 550-581.
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Maksym Luz & Mikhail Moklyachuk. 2019. Estimation of Stochastic Processes with Stationary Increments and Cointegrated Sequences. Estimation of Stochastic Processes with Stationary Increments and Cointegrated Sequences 267 279 .
Daniela OsterriederDaniel Ventosa-SantaulàriaJ Eduardo Vera-Valdés. (2019) The VIX, the Variance Premium, and Expected Returns*. Journal of Financial Econometrics 17:4, pages 517-558.
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José Carlos Vides, Antonio A. Golpe & Jesús Iglesias. (2017) How did the Sovereign debt crisis affect the Euro financial integration? A fractional cointegration approach. Empirica 45:4, pages 685-706.
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Cathy Yi-Hsuan Chen, Thomas C. Chiang & Wolfgang Karl Härdle. (2018) Downside risk and stock returns in the G7 countries: An empirical analysis of their long-run and short-run dynamics. Journal of Banking & Finance 93, pages 21-32.
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José Carlos Vides, Jesús Iglesias & Antonio A. Golpe. 2018. New Methods in Fixed Income Modeling. New Methods in Fixed Income Modeling 117 136 .
Brendan K. Beare, Juwon Seo & Won-Ki Seo. (2017) Cointegrated Linear Processes in Hilbert Space. Journal of Time Series Analysis 38:6, pages 1010-1027.
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H. Boswijk & Paolo Paruolo. (2017) Likelihood Ratio Tests of Restrictions on Common Trends Loading Matrices in I(2) VAR Systems. Econometrics 5:3, pages 28.
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Marie-Hélène Gagnon, Gabriel J. Power & Dominique Toupin. (2016) International stock market cointegration under the risk-neutral measure. International Review of Financial Analysis 47, pages 243-255.
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Xiaoyu Chen & Thomas C. Chiang. (2016) Stock returns and economic forces—An empirical investigation of Chinese markets. Global Finance Journal 30, pages 45-65.
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Massimo Franchi & Paolo Paruolo. (2014) Minimality of State Space Solutions of DSGE Models and Existence Conditions for Their VAR Representation. Computational Economics 46:4, pages 613-626.
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Søren Johansen & Katarina Juselius. (2014) An asymptotic invariance property of the common trends under linear transformations of the data. Journal of Econometrics 178, pages 310-315.
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Gilles de Truchis. (2013) Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue. Economic Modelling 34, pages 98-105.
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Tim Bollerslev, Daniela Osterrieder, Natalia Sizova & George Tauchen. (2013) Risk and return: Long-run relations, fractional cointegration, and return predictability. Journal of Financial Economics 108:2, pages 409-424.
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Jan Beran, Yuanhua Feng, Sucharita Ghosh & Rafal KulikJan Beran, Yuanhua Feng, Sucharita Ghosh & Rafal Kulik. 2013. Long-Memory Processes. Long-Memory Processes 555 732 .
Massimo Franchi & Paolo Paruolo. (2011) A characterization of vector autoregressive processes with common cyclical features. Journal of Econometrics 163:1, pages 105-117.
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Katarzyna Łasak. (2010) Likelihood based testing for no fractional cointegration. Journal of Econometrics 158:1, pages 67-77.
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Katarina Juselius. 2009. Palgrave Handbook of Econometrics. Palgrave Handbook of Econometrics 349 384 .
Federico Carlini & Katarzyna Lasak. (2018) Likelihood Based Inference for an Identifiable Fractional Vector Error Correction Model. SSRN Electronic Journal.
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Federico Carlini & Paolo Santucci de Magistris. (2018) Resuscitating the Co-Fractional Model of Granger (1986). SSRN Electronic Journal.
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Marie-HHllne Gagnon & Gabriel J. Power. (2016) International Stock Market Cointegration Under the Risk-Neutral Measure. SSRN Electronic Journal.
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Daniela Osterrieder, Daniel Ventosa-Santaullria & J. Eduardo Vera-Valdes. (2015) Unbalanced Regressions and the Predictive Equation. SSRN Electronic Journal.
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Federico Carlini & Katarzyna Lasak. (2014) On an Estimation Method for an Alternative Fractionally Cointegrated Model. SSRN Electronic Journal.
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Katarzyna Lasak & Carlos Velasco. (2014) Fractional Cointegration Rank Estimation. SSRN Electronic Journal.
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Daniela Osterrieder & Peter C. Schotman. (2011) Predicting Returns with a Co-Fractional VAR Model. SSRN Electronic Journal.
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Soren Johansen & Katarina Juselius. (2010) An Invariance Property of the Common Trends Under Linear Transformations of the Data. SSRN Electronic Journal.
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Clive G. Bowsher & Roland Meeks. (2008) Stationarity and the Term Structure of Interest Rates: A Characterisation of Stationary and Unit Root Yield Curves. SSRN Electronic Journal.
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Katarzyna Lasak. (2008) Maximum Likelihood Estimation of Fractionally Cointegrated Systems. SSRN Electronic Journal.
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Katarzyna Lasak. (2008) Likelihood Based Testing for No Fractional Cointegration. SSRN Electronic Journal.
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