A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (Q156121)
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scientific article; zbMATH DE number 447127
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| default for all languages | No label defined |
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| English | A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems |
scientific article; zbMATH DE number 447127 |
Statements
61
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4
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783
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July 1993
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30 November 1994
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A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (English)
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estimators of cointegrating vectors
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cointegrating regressions
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Gaussian MLE's
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triangular representation
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random mixture of normals
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Wald test statistics
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asymptotic chi-squared null distributions
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least squares
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finite sample performance
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Monte Carlo experiments
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dynamic OLS estimator
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long-run money demand
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income elasticity
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interest rate semi- elasticity
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0.8313390612602234
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0.8259136080741882
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0.8242208361625671
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0.8173242211341858
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0.817324161529541
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James H. Stock
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Mark W. Watson
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