Asymmetric adjustment and bias in estimation of an equilibrium relationship from a cointegrating regression

DOI10.1023/A:1023954024420zbMATH Open1042.91085OpenAlexW1545884186MaRDI QIDQ1397402

D. Massart

Publication date: 6 August 2003

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

Full work available at URL: https://doi.org/10.1023/a:1023954024420

zbMATH Keywords

Monte Carlo simulationcointegrationasymmetric adjustmentequilibrium relationship

Mathematics Subject Classification ID

Combinatorial probability (60C05) Statistical methods; economic indices and measures (91B82)

Related Items (1)

Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors

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