The asymptotic distributions of cointegration tests are approximated using the Gamma
distribution. The tests considered are for the I (1), the conditional I (1), as well as the I (2) …

This valuable text provides a comprehensive introduction to VAR modelling and how it can
be applied. In particular, the author focuses on the properties of the Cointegrated VAR …

Cointegration analysis has led to equilibrium-correction econometric systems being
ubiquitous. But in a non-stationary world subject to structural breaks, where model and …

This paper discusses a consistent bootstrap implementation of the likelihood ratio (LR) co‐
integration rank test and associated sequential rank determination procedure of Johansen …

An I (2) analysis of Australian inflation and the markup is undertaken within an imperfect
competition model. It is found that the levels of prices and costs are best characterized as …

This paper addresses the problem of inference on the moving average impact matrix and on
its row and column spaces in cointegrated 1 (1) VAR processes. The choice of bases (ie, the …

This paper tests for the existence of a lending channel in the transmission of monetary policy
in Brazil using aggregate monthly data for the period 1995: 12 through 2008: 6. The test is …

Based on a money market analysis using the cointegrated VAR model the paper
demonstrates some possible pitfalls in macroeconomic inference as a direct consequence of …

The issue of including stationary explanatory variables is addressed in the vector
autoregressive (VAR) model, when testing for cointegration rank. It is shown that simply …

This article presents a survey of the analysis of cointegration using the vector autoregressive
model. After a few illustrative economic examples, the three model based approaches to the …