Determination of vector error correction models in high dimensions

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Co-Integration and Error Correction: Representation, Estimation, and Testing

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Regularization and Variable Selection Via the Elastic Net

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Computing, Computer Science, Data Science +15

Statistical analysis of cointegration vectors

Søren Johansen · Journal of Economic Dynamics and Control · 1988 · 16.8K citations

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Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

Søren Johansen · Econometrica · 1991 · 11.2K citations

Social Sciences, Economics, Econometrics +14