Effects of a signal-to-noise ratio on finite sample inference for cointegrating vectors

DOI10.1016/j.matcom.2010.03.008zbMath1193.65004OpenAlexW1978391826MaRDI QIDQ991163

Takamitsu Kurita

Publication date: 2 September 2010

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

Full work available at URL: https://doi.org/10.1016/j.matcom.2010.03.008

zbMATH Keywords

signal-to-noise ratiofinite sample inferencecointegrating vectorpermanent shocktransitory shock

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Monte Carlo methods (65C05) Statistical aspects of information-theoretic topics (62B10)

Uses Software

• Ox

Cites Work

• Unnamed Item
• Testing cointegrating coefficients in vector autoregressive error correction models
• Exogeneity
• Two Mixed Normal Densities from Cointegration Analysis

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