Which vintage of data to use when there are multiple vintages of data?: Cointegration, weak exogeneity and common factors

DOI10.1016/S0165-1765(00)00295-0zbMATH Open0962.91063MaRDI QIDQ1583262FDOQ1583262

Authors: Kerry D. Patterson 

Publication date: 26 October 2000

Published in: Economics Letters (Search for Journal in Brave)

Recommendations

• Cointegration, long-run structural modelling and weak exogeneity: two models of the UK economy
• Estimation of cointegrated models with exogenous variables
• Some cautions on the use of panel methods for integrated series of macroeconomic data
• Cointegration Detection Using Dynamic Factor Models
• Joint detection of unit roots and cointegration: data-based simulation

zbMATH Keywords

common factorweak exogeneitypreliminary data

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
• Testing for Common Trends
• A state space model for reducing the uncertainty associated with preliminary vintages of data with an application to aggregate consumption

Cited In (1)

• Modeling data revisions: measurement error and dynamics of ``true values

This page was built for publication: Which vintage of data to use when there are multiple vintages of data?: Cointegration, weak exogeneity and common factors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1583262)