Showing 1 - 10 of 19
It is well known that unit root limit distributions are sensitive to initial conditions in the distant past. If the distant past initialization is extended to the infinite past, the initial condition dominates the limit theory producing a faster rate of convergence, a limiting Cauchy...
Persistent link: https://www.econbiz.de/10005087357
A limit theory is developed for multivariate regression in an explosive cointegrated system. The asymptotic behavior of the least squares estimator of the cointegrating coefficients is found to depend upon the precise relationship between the explosive regressors. When the eigenvalues of the...
Persistent link: https://www.econbiz.de/10012776773
It is well known that unit root limit distributions are sensitive to initial conditions in the distant past. If the distant past initialization is extended to the infinite past, the initial condition dominates the limit theory producing a faster rate of convergence, a limiting Cauchy...
Persistent link: https://www.econbiz.de/10014217977
Persistent link: https://www.econbiz.de/10003723140
Persistent link: https://www.econbiz.de/10003724269
Persistent link: https://www.econbiz.de/10003736837
Persistent link: https://www.econbiz.de/10003818345
Persistent link: https://www.econbiz.de/10003904436
Persistent link: https://www.econbiz.de/10010363893
Reduced rank regression procedures in error correction models (ECM's) permit consistent estimation of the cointegration space but do not provide consistent estimates of individual structural relations when the dimension of the cointegration space is greater than one. Indeed, individual...
Persistent link: https://www.econbiz.de/10005762598