Provides a framework for understanding the relationships between alternative cointegrating estimators with special attention given to single equation procedures. The approach consists of augmenting the long-run model with general short-run dynamic specifications and identifying the specific...

Provides a framework for understanding the relationships between alternative cointegrating estimators with special attention given to single equation procedures. The approach consists of augmenting the long‐run model with general short‐run dynamic specifications and identifying the specific...