Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models

DOI10.2307/2951476zbMath0789.62099OpenAlexW2118746157MaRDI QIDQ4284149

Publication date: 24 March 1994

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/92da88c96c2083f91d5d885d2ae466c8743d4519

zbMATH Keywords

outliers orthogonal group Stiefel manifold invariant measure hypergeometric function Wald statistic linear hypotheses error correction models spherical distribution \(F\) distribution simulation studies matrix Cauchy Cauchy-like tails cointegrating coefficients exact finite sample distributions matrix \(t\)-distribution tails reduced rank regression estimator tail behavior of maximum likelihood estimators triangular system representation

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to economics (62P20) Exact distribution theory in statistics (62E15)

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