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6Johansen, S, Likelihood Based Inference in Cointegrated Vector Autoregressive Models, Oxford University Press, 1995.
7Johansen, S. and K. Juselius, Maximum Likelihood Estimation and Inference on Cointegration-with Applications to the Demand for Money,Oxford Bulletin of Economics and Statistics, 1990,voi.52, p169-210.
二级参考文献9
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2Doornik J A, Hendry D F and Nielsen B.(1998) Inference in cointegrating models:UK MI revisited, Journal of Economic Surveys, 12, P533- P572.
3Johansen s.(1994) The role of the constant and linear terms in integration analysis of nonstationary variables, Econometric Reviews, 13, P205-P229.
4Nielsen B and Rahbek A.(2000) Similarity issues in cointegration analysis, Oxford Bulletin of Economics and Statistics, 66, P5- P22.
5Johansen S.(1995) Likelihood-based Inference in Cointegrated Vector Autoregressive Models.Oxford University Press, Oxford.
6Johansen S.(1988) Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control, 12, P231- P254.
