Journal article icon

Journal article

Inference in Cointegrating Models: UK M1 Revisited.

Abstract:

The paper addresses the practical determination of cointegration rank. This is difficult for many reasons: deterministic terms play a crucial role in limiting distributions, and systems may not be formulated to ensure similarity to nuisance parameters; finite-sample critical values may differ from asymptotic equivalents; dummy variables alter critical values, often greatly; multiple cointegration vectors must be identified to allow inference; the data may be 1(2) rather than 1(1), altering di...

Expand abstract

Actions


Access Document


Files:
Publisher copy:
10.1111/1467-6419.00067
Publisher:
Blackwell Publishing
Journal:
Journal of Economic Surveys More from this journal
Volume:
12
Issue:
5
Pages:
533 - 572
Publication date:
1998-01-01
DOI:
ISSN:
0950-0804
Language:
English
UUID:
uuid:f1dcf328-bb06-4eb8-bd58-120f24173719
Local pid:
oai:economics.ouls.ox.ac.uk:10956
Deposit date:
2011-08-16

Terms of use


Views and Downloads






If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP