Submodel estimation of a structural vector error correction model under cointegration

DOI10.1016/S0165-1765(98)00033-0zbMath0906.90036OpenAlexW2049441106MaRDI QIDQ1128783

William C. Horrace

Publication date: 13 August 1998

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(98)00033-0

zbMATH Keywords

cointegrationlimited information maximum likelihoodvector error correction modelcounterfactual policy analysis

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Statistical analysis of cointegration vectors
• Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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