We are very grateful to Jim Stock and five referees for many useful and constructive comments that were above and beyond the call of duty and led to significant improvements to the paper. We are also grateful to Uwe Hassler, James MacKinnon, Ilya Molchanov, and seminar participants at various universities and conferences for comments, and to the Danish Social Sciences Research Council (FSE Grant 275-05-0220), the Social Sciences and Humanities Research Council of Canada (SSHRC Grant 410-2009-0183), and the Center for Research in Econometric Analysis of Time Series (CREATES, funded by the Danish National Research Foundation) for financial support. A previous version of this paper was circulated under the title “Likelihood Inference for a Vector Autoregressive Model Which Allows for Fractional and Cofractional Processes.”
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
Version of Record online: 26 NOV 2012
© 2012 The Econometric Society
Volume 80, Issue 6, pages 2667–2732, November 2012
How to Cite
Johansen, S. and Nielsen, M. Ø. (2012), Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model. Econometrica, 80: 2667–2732. doi: 10.3982/ECTA9299
- Issue online: 26 NOV 2012
- Version of Record online: 26 NOV 2012
- Manuscript received May, 2010; final revision received February, 2012.
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