Brüggemann, Ralf; Lütkepohl, Helmut - In: Oxford Bulletin of Economics and Statistics 67 (2005) 5, pp. 673-690
Johansen's reduced-rank maximum likelihood (ML) estimator for cointegration parameters in vector error correction models is known to produce occasional extreme outliers. Using a small monetary system and German data we illustrate the practical importance of this problem. We also consider an...