Likelihood Ratio Tests on Cointegrating Vectors, Disequilibrium Adjustment Vectors, and their Orthogonal Complements
نویسندگان
چکیده
منابع مشابه
Testing linear restrictions on cointegrating vectors: Sizes and powers of Wald tests in nite samples
The Wald test for linear restrictions on cointegrating vectors is compared in nite samples using the Monte Carlo method. The Wald test within the vector error-correction based methods of Bewley et al. fully modiied ordinary least squares method of Phillips and Hansen (1990), and the band spectral techniques of Phillips (1991) are considered. In terms of test size, Jo-hansen's method seems to be...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2006
ISSN: 1556-5068
DOI: 10.2139/ssrn.910908