Modelling Cointegrated Processes : Final report.
Our research concerned modelling strategies for cointegrated systems, required because distributions of estimators and tests are affected by data being integrated (denoted I(1)) and cointegrated. Its five main aims were to: 1. develop system analyses, with weak exogeneity tests, for small samples of I(1) data; 2. study inference problems in I(1) systems, tabulating or approximating critical-values; 3. develop congruent, theory consistent, and encompassing approaches to cointegrated I(1) proce...Expand abstract
- ESRC project R000234954
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