Bårdsen, Gunnar; Haldrup, Niels - School of Economics and Management, University of Aarhus - 2006
large samples.
Keywords: Cointegration, Instrumental variables, Mixed Gaussianity.
JEL Classification: C2,C22,C32
1 … Gaussian distribution and hence we cannot
conduct standard inference based on this.
Mixed Gaussianity.
If it occurs that y
2t … autocorrelation a Newey-West based estimator can be adopted in the
estimation of ω
11
.
The main requirement for the mixed gaussianity …
