Search Results - subject:"Long-run exclusion"

Normalising cointegrating relationships subject to long-run exclusion

Kurita, Takamitsu - In: Economics letters 192 (2020), pp. 1-4

Persistent link: https://www.econbiz.de/10012508580

Long-run exclusion and the determination of cointegrating rank: Monte Carlo evidence

Kurita, Takamitsu - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 9, pp. 1733-1740

This note investigates long-run exclusion in a cointegrated vector autoregressive (VAR) model from the viewpoint of … cointegrating rank than a fully specified VAR model. Implications of long-run exclusion for econometric modelling are then …

Persistent link: https://www.econbiz.de/10010749599