Long-run exclusion and the determination of cointegrating rank: Monte Carlo evidence (Q551471)
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scientific article; zbMATH DE number 5929136
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| English | Long-run exclusion and the determination of cointegrating rank: Monte Carlo evidence |
scientific article; zbMATH DE number 5929136 |
Statements
Long-run exclusion and the determination of cointegrating rank: Monte Carlo evidence (English)
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20 July 2011
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long-run exclusion
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cointegrating rank
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cointegrated vector autoregressive model
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Monte Carlo experiment
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numerical examples
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finite-sample statistical inference
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econometric modelling
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0.8018394112586975
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0.7670555710792542
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0.7657167315483093
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0.7657163143157959
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