Normalising cointegrating relationships subject to long-run exclusion

被引：1
|
作者：
Kurita, Takamitsu [1 ]
机构：
[1] Fukuoka Univ, Fac Econ, Fukuoka, Japan
来源：
ECONOMICS LETTERS | 2020年 / 192卷
关键词：
Cointegrating relationships; Vector autoregressive (VAR) models; Normalisation; Long-run exclusion; LINEAR RESTRICTIONS; VECTORS; IDENTIFICATION; RANK;
D O I：
10.1016/j.econlet.2020.109161
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (C) 2020 Elsevier B.V. All rights reserved.
引用
收藏
页数：4
相关论文
共 50 条
12345