Modelling of cointegration in the vector autoregressive model

By Søren Johansen. 2000

128 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/b20b4bf865ce6cf1a049df46fec301fe2ac995c2

How researchers see this paper

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In Economics and Econometrics

1. Peter Nunnenkamp
2. Sandra Jeanne Vollmer
3. D. Herzer
4. Jorge Bermejo Carbonell
5. R. Werner

Citations in the corpus

• Inequality and growth: evidence from panel cointegration (2011, background): “If, on the other hand, there is cointegration between a set of variables, this same stationary relationship also exists in extended variable space (see [22]).”
• The Dynamic Effects of Public Capital: VAR Evidence for 22 OECD Countries (2005, unknown): “__________ 65 See Lütkepohl (2001) and Stock and Watson (2001) for surveys on the VAR methodology.”
• The effect of foreign aid on income inequality: Evidence from panel cointegration (2012, background): “If, on the other hand, a cointegrating relationship exists among a set of nonstationary variables, the same cointegrating relationship also exists in extended variable space (Johansen, 2000).”