Fully modified estimation of cointegrating vectors via var prewhitening: A simulation study (Q3598348)
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scientific article; zbMATH DE number 5501140
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| English | Fully modified estimation of cointegrating vectors via var prewhitening: A simulation study |
scientific article; zbMATH DE number 5501140 |
Statements
Fully modified estimation of cointegrating vectors via var prewhitening: A simulation study (English)
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3 February 2009
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cointegration
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fully modified estimation
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consistent covariance matrix estimation
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prewhitening
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Monte Carlo
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0.8553460240364075
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0.8101134300231934
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0.8101134300231934
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0.776261568069458
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0.7678586840629578
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