Long-run exclusion and the determination of cointegrating rank: Monte Carlo evidence

DOI10.1016/J.MATCOM.2011.01.007zbMATH Open1220.65014OpenAlexW2065241246MaRDI QIDQ551471FDOQ551471

Authors: Takamitsu Kurita 

Publication date: 20 July 2011

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2011.01.007

Recommendations

• Cointegration rank inference with stationary regressors in VAR models
• Normalising cointegrating relationships subject to long-run exclusion
• IDENTIFICATION AND DICHOTOMIZATION OF LONG- AND SHORT-RUN RELATIONS OF COINTEGRATED VECTOR AUTOREGRESSIVE MODELS
• Statistical inference in vector autoregressions with possibly integrated processes
• Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions

zbMATH Keywords

numerical examplesMonte Carlo experimentcointegrating rankcointegrated vector autoregressive modeleconometric modellingfinite-sample statistical inferencelong-run exclusion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Cites Work

• Statistical analysis of cointegration vectors
• Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
• A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
• The Influence of VAR Dimensions on Estimator Biases
• The cointegrated VAR model: Methodology and applications.

Cited In (2)

• Normalising cointegrating relationships subject to long-run exclusion
• Cointegration rank inference with stationary regressors in VAR models

Uses Software

• Ox

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