van Dijk, Herman K.; Hoogerheide, Hoogerheide, L.F. - Faculteit der Economische Wetenschappen, Erasmus … - 2001
In this paper we discuss the similarity between the Anderson-Rubin test for overidentification in a Simultaneous Equations Model and the Johansen test for cointegration in a Vector Autoregressive model. The similar structure of the two models is shown to be important in this respect. An...