Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/149089
Authors: 
Johansen, Søren
Nielsen, Morten Ørregaard
Year of Publication: 
2016
Series/Report no.: 
Queen's Economics Department Working Paper 1363
Abstract: 
In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model Xt = ᵧZt + Yt, where Zt belongs to a large class of deterministic regressors and Yt is a zero-mean CVAR. We suggest an extended model that can be estimated by reduced rank regression and give a condition for when the additive and extended models are asymptotically equivalent, as well as an algorithm for deriving the additive model parameters from the extended model parameters. We derive asymptotic properties of the maximum likelihood estimators and discuss tests for rank and tests on the deterministic terms. In particular, we give conditions under which the estimators are asymptotically (mixed) Gaussian, such that associated tests are χ2-distributed.
Subjects: 
Additive formulation
cointegration
deterministic terms
extended model
likelihood inference
VAR model
JEL: 
C32
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.