论文信息 - Normalising cointegrating relationships subject to long-run exclusion

Normalising cointegrating relationships subject to long-run exclusion

Abstract This paper conducts a comparative simulation study in a recursive manner to illuminate a problem with the normalisation of cointegrating vectors that are subject to long-run exclusion. It indicates that pre-testing for long-run exclusion can play a critical role in revealing interpretable structures from non-stationary time series data.

Takamitsu Kurita | Takamitsu Kurita

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