Long-run exclusion and the determination of cointegrating rank: Monte Carlo evidence
type: Item
instance of: scholarly article
title: Long-run exclusion and the determination of cointegrating rank: Monte Carlo evidence
zbMATH Open document ID: 1220.65014
author: Takamitsu Kurita
published in: Mathematics and Computers in Simulation
publication date: 2011-07-20T00:00:00Z
Mathematics Subject Classification ID: 65C60
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 5929136
zbMATH Keywords: long-run exclusion
zbMATH Keywords: cointegrating rank
zbMATH Keywords: cointegrated vector autoregressive model
zbMATH Keywords: Monte Carlo experiment
zbMATH Keywords: numerical examples
zbMATH Keywords: finite-sample statistical inference
zbMATH Keywords: econometric modelling
describes a project that uses: Ox
MaRDI profile type: Publication
full work available at URL: j.matcom.2011.01.007
OpenAlex ID: W2065241246
cites work: The Influence of VAR Dimensions on Estimator Biases
cites work: Statistical analysis of cointegration vectors
cites work: A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
cites work: Q3415188
cites work: Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
DOI: 10.1016/J.MATCOM.2011.01.007
description: scientific article; zbMATH DE number 5929136