Small sample properties of tests of linear restrictions on cointegrating vectors and their weights

DOI10.1016/0165-1765(92)90093-EzbMath0775.62343OpenAlexW2086380472MaRDI QIDQ1195087

Jan M. Podivinsky

Publication date: 5 October 1992

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

Full work available at URL: https://doi.org/10.1016/0165-1765(92)90093-e

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (4)

A comparison of tests of linear hypothesis in cointegrated vector autoregressive models ⋮ A systematic framework for analyzing the dynamic effects of permanent and transitory shocks. ⋮ Normalising cointegrating relationships subject to long-run exclusion ⋮ The effect of non-normal disturbances and conditional heteroskedasticity on multiple cointegration tests

Uses Software

• nlmdl

Cites Work

• Statistical analysis of cointegration vectors
• Forecasting and testing in co-integrated systems
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Unnamed Item
• Unnamed Item

This page was built for publication: Small sample properties of tests of linear restrictions on cointegrating vectors and their weights