REFERENCES
- Ahn , S. K. and Reinsel , G. C. 1990 . “Estimation for Partially Nonstationary Multivariate Autoregressive Models,” . Journal of the American Statistical Association , 85 : 813 – 823 .
- Boswijk , H. P. 1996 . “Testing Identifiability of Cointegrating Vectors,” . Journal of Business & Economic Statistics , 14 : 153 – 160 .
- Johansen , S. 1988 . “Statistical Analysis of Cointegration Vectors,” . Journal of Economic Dynamics and Control , 12 : 231 – 254 .
- Johansen , S. 1991 . “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models,” . Econometrica , 59 : 1551 – 1581 .
- Johansen , S. and Juselius , K. 1990 . “Maximum Likelihood Estimation and Inference on Cointegration—With Applications to the Demand for Money,” . Oxford Bulletin of Economics and Statistics , 52 : 169 – 210 .
- Johansen , S. and Juselius , K. 1994 . “Identification of the Long-Run and Short-Run Structure. An Application to the ISLM Model,” . Journal of Econometrics , 63 : 7 – 36 .
- Paruolo , P. 1997 . “Asymptotic Inference on the Moving Average Impact Matrix in Cointegrated 1(1) VAR Systems,” . Econometric Theory , 13 : 79 – 118 .
- Pesaran , M. H. and Shin , Y. 1997 . “Long-Run Structural Modelling,” , University of Cambridge, Dept, of Applied Economics . revised version of the Working Paper Series No. 9419
- Phillips , P. C. B. 1991 . “Optimal Inference in Cointegrated Systems,” . Econometrica , 59 : 283 – 306 .
- Phillips , P. C. B. and Durlauf , S. N. 1986 . “Multiple Time Series Regression With Integrated Processes,” . Review of Economic Studies , 53 : 473 – 496 .
- Reinsel , G. C. and Ahn , S. K. 1992 . “Vector Autoregressive Models With Unit Roots and Reduced Rank Structure: Estimation, Likelihood Ratio Test, and Forecasting,” . Journal of Time Series Analysis , 13 : 353 – 375 .
- Saikkonen , P. 1992 . “Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation,” . Econometric Theory , 8 : 1 – 27 .
- Saikkonen , P. 1997 . “Testing Normalization and Overidentification of Cointegrating Vectors in Cointegrated Vector Autoregressive Processes,” , University of Helsinki, Dept, of Statistics . unpublished manuscript
- Saikkonen , P. and Luukkonen , R. 1997 . “Testing Cointegration in Infinite Order Vector Autoregressive Processes,” . Journal of Econometrics , 81 : 93 – 126 .
- Stock , J. H. 1987 . “Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors,” . Econometrica , 55 : 1035 – 1056 .
- Toda , H. Y. 1995 . “Finite Sample Performance of Likelihood Ratio Tests for Cointegrating Ranks in Vector Autoregressions” . Econometric Theory , 11 : 1015 – 1032 .