A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (Q156121)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems |
scientific article |
Statements
61
0 references
4
0 references
783
0 references
July 1993
0 references
30 November 1994
0 references
A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (English)
0 references
estimators of cointegrating vectors
0 references
cointegrating regressions
0 references
Gaussian MLE's
0 references
triangular representation
0 references
random mixture of normals
0 references
Wald test statistics
0 references
asymptotic chi-squared null distributions
0 references
least squares
0 references
finite sample performance
0 references
Monte Carlo experiments
0 references
dynamic OLS estimator
0 references
long-run money demand
0 references
income elasticity
0 references
interest rate semi- elasticity
0 references
