New small sample estimators for cointegration regression: low-pass spectral filter method (Q674067)
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scientific article; zbMATH DE number 985919
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| English | New small sample estimators for cointegration regression: low-pass spectral filter method |
scientific article; zbMATH DE number 985919 |
Statements
New small sample estimators for cointegration regression: low-pass spectral filter method (English)
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28 February 1997
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Cointegration
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Filtering
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Fully modified least squares
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Small sample
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simulation
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0.8773198127746582
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0.7628364562988281
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