The convergence of multivariate `unit root' distributions to their asymptotic limits. The case of money-income causality

DOI10.1016/0165-1889(88)90052-8zbMath0647.62099OpenAlexW2133888197MaRDI QIDQ1104684

Myungsoo Park, James H. Stock, Mark W. Watson, Lars Ljungqvist

Publication date: 1988

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(88)90052-8

zbMATH Keywords

unit rootsasymptotic approximationsbivariate probability modelbivariate vector autoregressionpostwar U.S. money and industrial production growth rates

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

Cites Work

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• Testing for cointegration using principal components methods
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors

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