Actually, Johansen test was first published at 1988 and became famous at another paper in Econometrica at 1991, where the contents of two papers are roughly the same.

Time series analysis was published at 1994.

However, there are some other books which are more useful, please søren Johansen's own book published in Ox Univ Press at 1995/6.

[此贴子已经被作者于2007-11-11 8:32:41编辑过]

Likelihood Based Inference on Cointegration in the Vector Autoregressive Model. Oxford University Press, Oxford, 2nd ed. (1996)

另外， Prof. Johansen 的夫人 写了一本协整理论应用的书，'The Cointegrated VAR Model: Methodology and Applications' .Oxford University Press，December 2006. 注意看其第八章。

Johansen test is about how to determine the cointegration rank. You can see the term *rank test* in papers and books published by Copenhagen Econometricians.

Use Prof. Juselius 's (The wife of Prof. Johansen) book as a good starting point,which is easier and more practical, and Johansen's as a following research mine, which used far more complicated mathmatics.

Any way, good luck although I truly believe that your supervisor made a wrong decision :-)

对跟贴帮助的奖励！

http://www.amazon.de/Cointegrated-VAR-Model-Applications-Econometrics/dp/0199285675

这个那本书的地址(那本书卖的不贵，呵呵) ，与ilkadai 找到的版本相比，多了I(2) cointegration analysis 和 几个协整VAR的应用章节。当然这些章节都有更新，但是没有根本性的变动。就从研究Johansen test 的角度，ilkadai 找到的这本书也可以用了。还是要关注第八章。

另外，Johansen 在牛津出版社出版的书更加适合数学或统计系的人使用，或者对于协整理论有一些初步了解的人，比如读完了Katarina Juselius 的相关章节之后。

Anyway, good luck for your research.

[此贴子已经被作者于2007-11-11 8:25:02编辑过]

ilkadai说的这两本书都是大同小异了，好好看哪一本都可以了。

Time Series Models for Business and Economic Forecasting. Philip Hans Franses. Cambridge University Press,1998

Chris Brooks的Introductory Econometrics for Finance也是一本好书，论坛有https://bbs.pinggu.org/b5i134402p4.html

还要恭喜lz！，呵呵

[此贴子已经被作者于2008-6-13 11:17:16编辑过]

没钱没办法呀

弱弱一问……为什么……这是精华贴？