Vector Autoregressions and Cointegration*
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چکیده
منابع مشابه
Cointegration Analysis in the Presence of Flexible Trends
Intercept and deterministic trend functions are known to have a substantial effect on cointegration analysis, and notably on the asymptotic distributions of various test statistics. In this paper we propose a unifying approach to the analysis of cointegrated vector autoregressions by allowing for a wide class of trend functions. Next, estimates of these trends are incorporated in the asymptotic...
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We perform a series of Monte Carlo experiments in order to evaluate the impact of data transformation on forecasting models, and ̄nd that vector error-corrections dominate di®erenced data vector autoregressions when the correct data transformation is used, but not when data are incorrectly tansformed, even if the true model contains cointegrating restrictions. We argue that one reason for this ...
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