Hayakawa, Kazuhiko; Kurozumi, Eiji - In: Mathematics and Computers in Simulation (MATCOM) 79 (2008) 3, pp. 555-560
In this paper, we consider the role of “leads” of the first difference of integrated variables in the dynamic OLS estimation of cointegrating regression models. Specifically, we investigate Stock and Watson’s [J.H. Stock, M.W. Watson’s, A simple estimator of cointegrating vectors in...
