Asymmetric adjustment and bias in estimation of an equilibrium relationship from a cointegrating regression

DOI10.1023/A:1023954024420MaRDI QIDQ1397402zbMATH OpenOpenAlexFDO

Authors D. Massart

Publication date 6 August 2003

Published in Computational Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1023954024420

zbMATH Keywords

asymmetric adjustmentcointegrationequilibrium relationshipMonte Carlo simulation

Mathematics Subject Classification ID

Combinatorial probability (60C05) Statistical methods; economic indices and measures (91B82)

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Cited in

(2)

• The power of tests for nonlinearity: The case of Granger-Lee asymmetry
• Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors

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