Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models

DOI10.2307/2951476zbMath0789.62099MaRDI QIDQ4284149

Peter C. B. Phillips

Publication date: 24 March 1994

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/92da88c96c2083f91d5d885d2ae466c8743d4519

zbMATH Keywords

outliers; orthogonal group; Stiefel manifold; invariant measure; hypergeometric function; Wald statistic; linear hypotheses; error correction models; spherical distribution; \(F\) distribution; simulation studies; matrix Cauchy; Cauchy-like tails; cointegrating coefficients; exact finite sample distributions; matrix \(t\)-distribution tails; reduced rank regression estimator; tail behavior of maximum likelihood estimators; triangular system representation

Mathematics Subject Classification ID

62H10: Multivariate distribution of statistics

62P20: Applications of statistics to economics

62E15: Exact distribution theory in statistics

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