The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model
By: Søren Johansen.
Contributors: European University Institute. Dept. of Economics.
Series: EUI working paper -- no.2001/1
Publisher: European University Institute, Department of Economics
Published: 2001
Place of publication: Florence
Language: eng
Number of pages: 22
Subjects: Econometric models.; Correlation (Statistics); Autoregression (Statistics)
Notes: Includes bibliographical references.