Cointegration in partial systems and the efficiency of single-equation analysis
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Publication:1193515
DOI10.1016/0304-4076(92)90019-NzbMath0747.62115MaRDI QIDQ1193515
Publication date: 27 September 1992
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(92)90019-n
VAR model; weak exogeneity; partial maximum likelihood estimator; cointegration relations; partially modelled system
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Cites Work
- Statistical analysis of cointegration vectors
- On the strong approximation of the distributions of estimators in linear stochastic models, I and II: Stationary and explosive AR models
- Exogeneity
- Optimal Inference in Cointegrated Systems
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
