Formula I(1) and I(2) : race tracks for likelihood maximization algorithms of I(1) and I(2) cointegrated VAR models
Year of publication: |
December 2017
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Authors: | Doornik, Jurgen A. ; Mosconi, Rocco ; Paruolo, Paolo |
Published in: |
Econometrics : open access journal. - Basel : MDPI, ISSN 2225-1146, ZDB-ID 2717594-7. - Vol. 5.2017, 4, p. 1-30
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Subject: | maximum likelihood | Monte Carlo | VAR | cointegration | I(1) | I(2) | Kointegration | Cointegration | VAR-Modell | VAR model | Monte-Carlo-Simulation | Monte Carlo simulation | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätztheorie | Estimation theory |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/econometrics5040049 [DOI] hdl:10419/195433 [Handle] |
Classification: | C32 - Time-Series Models ; C51 - Model Construction and Estimation ; C63 - Computational Techniques ; C87 - Econometric Software ; C99 - Design of Experiments. Other |
Source: | ECONIS - Online Catalogue of the ZBW |
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