Small sample estimation of a cointegrating vector: an empirical evaluation of six estimation techniques
A large number of techniques are now available for estimating a cointegrating regression. Although many of these techniques provide asymptotically equivalent estimators, their small-sample properties are known only with respect to a limited number of Monte Carlo studies. In light of the growing controversy over the nature of non-stationarity of economic time series, a comprehensive evaluation of these techniques within an applied framework can shed more light on the relative merits of these techniques. An estimation of long-run demand elasticities by six such techniques based on annual data from Canada, China and Singapore show rather disconcerting results. In small samples OLS may still be the best choice.
Year of publication: |
1999
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Authors: | Abeysinghe, Tilak ; Boon, Tan Khay |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 6.1999, 10, p. 645-648
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Publisher: |
Taylor & Francis Journals |
Saved in:
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