Cointegration in partial systems and the efficiency of single-equation analysis

DOI10.1016/0304-4076(92)90019-NzbMath0747.62115OpenAlexW2060210686MaRDI QIDQ1193515

Publication date: 27 September 1992

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(92)90019-n

zbMATH Keywords

VAR model weak exogeneity partial maximum likelihood estimator cointegration relations partially modelled system

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

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