Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models (Q4284149)
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scientific article; zbMATH DE number 522734
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models |
scientific article; zbMATH DE number 522734 |
Statements
Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models (English)
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24 March 1994
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hypergeometric function
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invariant measure
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matrix Cauchy
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orthogonal group
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spherical distribution
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Stiefel manifold
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exact finite sample distributions
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tail behavior of maximum likelihood estimators
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cointegrating coefficients
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error correction models
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reduced rank regression estimator
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Cauchy-like tails
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triangular system representation
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matrix \(t\)-distribution tails
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simulation studies
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outliers
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Wald statistic
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linear hypotheses
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\(F\) distribution
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