On the identification of cointegrated systems in small samples: a modelling strategy with an application to UK wages and prices.
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Publication:1605210
DOI10.1016/S0165-1889(01)00083-5zbMath1100.91557MaRDI QIDQ1605210
Jennifer V. Greenslade, Stephen G. Hall, S. G. Brian Henry
Publication date: 15 July 2002
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Macroeconomic theory (monetary models, models of taxation) (91B64) Microeconomic theory (price theory and economic markets) (91B24)
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Cites Work
- Statistical analysis of cointegration vectors
- Structural analysis of vector error correction models with exogenous \(I(1)\) variables
- Optimal Inference in Cointegrated Systems
- Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
- LONG-RUN STRUCTURAL MODELLING
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models