Hassler, Uwe; Wolters, Jürgen - Fachbereich Wirtschaftswissenschaft, Freie Universität … - 2005
This paper considers cointegration analysis within an autoregressive distributed lag (ADL) framework. First, different reparameterizations and interpretations are reviewed. Then we show that the estimation of a cointegrating vector from an ADL specification is equivalent to that from an...
