Bootstrap Testing Linear Restrictions on Cointergrating Vectors
- 1 January 2001
- journal article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 19 (1) , 63-72
- https://doi.org/10.1198/07350010152472625
Abstract
We consider a computer-intensive method for inference on cointegrating vectors in maximum likelihood cointegration analysis. Simulation studies show that the size distortion for the asymptotic like...Keywords
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