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Modelling Cointegrated Processes : Final report.

Abstract:

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...

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Authors


John N. Muellbauer More by this author
David F. Hendry More by this author
Jurgen A. Doornik More by this author
Gavin Cameron More by this author
Series:
ESRC project R000234954
Publication date:
1998
URN:
uuid:f5f2d369-f347-418c-99f9-fa5ddc8864f2
Local pid:
oai:economics.ouls.ox.ac.uk:12942

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