This paper deals with the design of Monte Carlo experiments in the context of cointegrated VAR models.

This paper formulates a conformity test for cointegration for a multivariate I(1) process obeying a VAR specification. The test statistic is a function of the characteristic roots of the sample covariance matrix of the cointegral vector; the latter is obtained from the unrestricted estimation of...

In this paper we employ the Kullback Information apparatus in (a) obtaining the strong consistency of the maximum likelihood (ML) estimator in the standard version of the general linear structural econometric model (GLSEM); (b) deriving very succintly the necessary and sufficient (nas)...