Kurita, Takamitsu - In: Mathematics and Computers in Simulation (MATCOM) 80 (2010) 10, pp. 2033-2039
This paper investigates effects of a signal-to-noise ratio on finite sample inference for cointegrating vectors. The ratio is defined as a measure of the magnitude of a permanent shock relative to a transitory shock. According to Monte Carlo experiments conducted in this paper, a high...