Inference in Cointegrating Models: UK M1 Revisited.
The paper addresses the practical determination of cointegration rank. This is difficult for many reasons: deterministic terms play a crucial role in limiting distributions, and systems may not be formulated to ensure similarity to nuisance parameters; finite-sample critical values may differ from a...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Blackwell Publishing
1998
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