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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models$
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Søren Johansen

Print publication date: 1995

Print ISBN-13: 9780198774501

Published to British Academy Scholarship Online: November 2003

DOI: 10.1093/0198774508.001.0001

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(p.219) Some Mathematical Results

(p.219) Some Mathematical Results

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Søren Johansen

Oxford University Press

The first appendix contains some results from various branches of mathematics that are useful for the analysis of autoregressive models. Some results are concerned with eigenvalues and eigenvectors, but some are more specialized, like the results on binomial coefficients and the exponential function of matrix argument, which are used in discussion of local power of the trace test.

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