On the identification of cointegrated systems in small samples: a modelling strategy with an application to UK wages and prices.

DOI10.1016/S0165-1889(01)00083-5zbMath1100.91557MaRDI QIDQ1605210

Jennifer V. Greenslade, Stephen G. Hall, S. G. Brian Henry

Publication date: 15 July 2002

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

Monte CarloSystemsIdentificationCointegration

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (1)

A sequential test for structural breaks in the causal linkages between the G7 short-term interest rates

Cites Work

• Statistical analysis of cointegration vectors
• Structural analysis of vector error correction models with exogenous \(I(1)\) variables
• Optimal Inference in Cointegrated Systems
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• LONG-RUN STRUCTURAL MODELLING
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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