Cappuccio, Nunzio; Lubian, Diego - In: Econometric Reviews 20 (2001) 1, pp. 61-84
In this paper we study the finite sample properties of some asymptotically equivalent estimators of cointegrating relationships and related test statistics: the Fully Modified Least Squares estimator proposed by Phillips and Hansen (1990), the Dynamic OLS estimator of Saikkonen (1991) and Stock...
