Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
DOI10.2307/2951476zbMATH Open0789.62099OpenAlexW2118746157MaRDI QIDQ4284149FDOQ4284149
Authors: 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
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outliersspherical distributionhypergeometric functionStiefel manifoldinvariant measureorthogonal grouperror correction modelsWald statistic\(F\) distributionlinear hypothesessimulation studiesmatrix CauchyCauchy-like tailscointegrating coefficientsexact finite sample distributionsmatrix \(t\)-distribution tailsreduced rank regression estimatortail behavior of maximum likelihood estimatorstriangular system representation
Exact distribution theory in statistics (62E15) Multivariate distribution of statistics (62H10) Applications of statistics to economics (62P20)
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- A Parametric approach to the Estimation of Cointegration Vectors in Panel Data
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