Long-run exclusion and the determination of cointegrating rank: Monte Carlo evidence

DOI10.1016/J.MATCOM.2011.01.007zbMath1220.65014OpenAlexW2065241246MaRDI QIDQ551471

Takamitsu Kurita

Publication date: 20 July 2011

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2011.01.007

zbMATH Keywords

numerical examplesMonte Carlo experimentcointegrating rankcointegrated vector autoregressive modeleconometric modellingfinite-sample statistical inferencelong-run exclusion

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Uses Software

• Ox

Cites Work

• Statistical analysis of cointegration vectors
• The Influence of VAR Dimensions on Estimator Biases
• Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
• A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
• Unnamed Item

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