Electronic Resource
Oxford, UK and Boston, USA
:
Blackwell Publishers Ltd
Journal of economic surveys
12 (1998), S. 0
ISSN:
1467-6419
Source:
Blackwell Publishing Journal Backfiles 1879-2005
Topics:
Economics
Notes:
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 I(2) rather than I(1), altering distributions; and conditioning must be done with care. These issues are illustrated by an empirical application of multivariate cointegration analysis to a small model of narrow money, prices, output and interest rates in the UK.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1111/1467-6419.00067
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