Cointegration in partial systems and the efficiency of single-equation analysis (Q1193515): Difference between revisions
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Property / cites work: Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions / rank | |||
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Property / cites work: Co-Integration and Error Correction: Representation, Estimation, and Testing / rank | |||
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Property / cites work: On the strong approximation of the distributions of estimators in linear stochastic models, I and II: Stationary and explosive AR models / rank | |||
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Property / cites work: Statistical analysis of cointegration vectors / rank | |||
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Property / cites work: Optimal Inference in Cointegrated Systems / rank | |||
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Revision as of 14:17, 16 May 2024
scientific article
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English | Cointegration in partial systems and the efficiency of single-equation analysis |
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Cointegration in partial systems and the efficiency of single-equation analysis (English)
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27 September 1992
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partial maximum likelihood estimator
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VAR model
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cointegration relations
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partially modelled system
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weak exogeneity
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