Inference in Cointegrating Models: UK M1 Revisited.Report as inadecuate




Inference in Cointegrating Models: UK M1 Revisited. - Download this document for free, or read online. Document in PDF available to download.

Reference: Jurgen A. Doornik, David F. Hendry and Bent Nielsen, (1998). Inference in Cointegrating Models: UK M1 Revisited. Journal of Economic Surveys, 12 (5), 533 - 572.Citable link to this page:

 

Inference in Cointegrating Models: UK M1 Revisited.

Abstract: The paper addresses the practical determination of cointegration rank. This is difficult for many reasons: deterministic terms play a crucial role in limiting distributions, and systems may not be formulated to ensure similarity to nuisance parameters; finite-sample critical values may differ from asymptotic equivalents; dummy variables alter critical values, often greatly; multiple cointegration vectors must be identified to allow inference; the data may be 1(2) rather than 1(1), altering distributions; and conditioning must be done with care. These issues are illustrated by an empirical application of multivariate cointegration analysis to a small model of narrow money, prices, output and interest rates in the UK.

Bibliographic Details

Host: Journal of Economic Surveyssee more from them

Issue Date: 1998Identifiers

Doi: https://doi.org/10.1111/1467-6419.00067

Urn: uuid:f1dcf328-bb06-4eb8-bd58-120f24173719 Item Description

Type: info:eu-repo/semantics/article;

Language: en

Relationships





Author: Jurgen A. Doornik - - - David F. Hendry - - - Bent Nielsen - - - - Bibliographic Details Host: Journal of Economic Surveys see mo

Source: https://ora.ox.ac.uk/objects/uuid:f1dcf328-bb06-4eb8-bd58-120f24173719



DOWNLOAD PDF




Related documents