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  • Search: subject:"Structural Vector Correction Error"
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Subject
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Cointegration 1 Critical Values 1 Likelihood Ratio Statistics 1 Monte Carlo Simulations 1 Purchasing Power Parity 1 Seemingly Unrelated Regression 1 Structural Vector Correction Error 1 Uncovered Interest Rate Parity 1 Unit Roots 1
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Free 1
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Book / Working Paper 1
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Undetermined 1
Author
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Pesaran, M 1 Shin, Yongcheol 1 Smith, R 1
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School of Economics, University of Edinburgh 1
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ESE Discussion Papers 1
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RePEc 1
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Structural analysis of vector error correction models exogenous i(1) variables
Pesaran, M; Smith, R; Shin, Yongcheol - School of Economics, University of Edinburgh - 2004
This paper generalizes the existing cointegration analysis literature in two respects. Firstly, the problem of efficient estimation of vector error correction models containing exogenous (1) variables is examined. The asymptotic distributions of the (log- )likelihood ratio statistics for testing...
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