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Original Articles

Comments on “estimating systems of trending variables” by soren johansen

Pages 387-389 | Published online: 21 Mar 2007

References

  • Anderson , T. W. 1958 . The Statistical Analysis of Time Series , New York : Wiley and Sons .
  • Box , E. P. and Jenkins , G. M. 1976 . Time series Analysis Forecastinq and Control , San Francisco : Holden Day .
  • Escribano A. Cointegration Time Cotrend and Error Correction Systems: An Alternative Approach 1987 COKE Discussion Paper 8715
  • Granger , C. W. J. and Hallman , J. J. 1991 . Long Memory Series with Attractors . Oxford Bulletin of Economics and Statistics , 53 ( 1 ) : 11 – 26 .
  • Lo , A. W. 1991 . Long-Term Memory in Stock Market Prices . Econornetrica , 59 ( 1 ) : 1279 – 1313 .
  • Lütkepohl , H. 1991 . Introduction to Multitple Time Series Analysis , Springer-Verlag .
  • Sims , C. A. 1980 . Macroeconomics and Reality . Econornetrica , 48 : 1 – 48 .

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