A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
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Publication:156121
DOI10.2307/2951763zbMath0801.62097OpenAlexW2003750580MaRDI QIDQ156121
Mark W. Watson, James H. Stock, Mark W. Watson, James H. Stock
Publication date: July 1993
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/4212febd6bedda471aa2342571191de0bb36f12e
least squaresMonte Carlo experimentsincome elasticityfinite sample performancecointegrating regressionstriangular representationWald test statisticsasymptotic chi-squared null distributionsdynamic OLS estimatorestimators of cointegrating vectorsGaussian MLE'sinterest rate semi- elasticitylong-run money demandrandom mixture of normals
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
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