Effects of a signal-to-noise ratio on finite sample inference for cointegrating vectors

DOI10.1016/J.MATCOM.2010.03.008MaRDI QIDQ991163zbMATH OpenOpenAlexFDO

Authors Takamitsu Kurita

Publication date 2 September 2010

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

Full work available at URL https://doi.org/10.1016/j.matcom.2010.03.008

zbMATH Keywords

cointegrating vectorfinite sample inferencepermanent shocksignal-to-noise ratiotransitory shock

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Robustness and adaptive procedures (parametric inference) (62F35) Monte Carlo methods (65C05)

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Cites work

• Exogeneity
• Testing cointegrating coefficients in vector autoregressive error correction models
• The cointegrated VAR model: Methodology and applications.
• Two Mixed Normal Densities from Cointegration Analysis

Cited in

(1)

• SPECTRAL MAXIMUM LIKELIHOOD ESTIMATION OF A SIGNAL-TO-NOISE RATIO LYING IN THE VICINITY OF ZERO

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• Ox

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