Modelling Cointegrated Processes : Final report.
Our research concerned modelling strategies for cointegrated systems, required because distributions of estimators and tests are affected by data being integrated (denoted I(1)) and cointegrated. Its five main aims were to: 1. develop system analyses, with weak exogeneity tests, for small samples of...
| Main Authors: | , , , |
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| Format: | Report |
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Department of Economics (University of Oxford)
1998
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| _version_ | 1797104222653644800 |
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| author | Muellbauer, J Hendry, D Doornik, J Cameron, G |
| author_facet | Muellbauer, J Hendry, D Doornik, J Cameron, G |
| author_sort | Muellbauer, J |
| collection | OXFORD |
| description | Our research concerned modelling strategies for cointegrated systems, required because distributions of estimators and tests are affected by data being integrated (denoted I(1)) and cointegrated. Its five main aims were to: 1. develop system analyses, with weak exogeneity tests, for small samples of I(1) data; 2. study inference problems in I(1) systems, tabulating or approximating critical-values; 3. develop congruent, theory consistent, and encompassing approaches to cointegrated I(1) processes; 4. empirically apply these to housing, consumption, portfolio behaviour, productivity and competitiveness; 5. develop a powerful software system for Monte Carlo simulation of the approach. |
| first_indexed | 2024-03-07T06:30:50Z |
| format | Report |
| id | oxford-uuid:f5f2d369-f347-418c-99f9-fa5ddc8864f2 |
| institution | University of Oxford |
| last_indexed | 2024-03-07T06:30:50Z |
| publishDate | 1998 |
| publisher | Department of Economics (University of Oxford) |
| record_format | dspace |
| spelling | oxford-uuid:f5f2d369-f347-418c-99f9-fa5ddc8864f22022-03-27T12:31:12ZModelling Cointegrated Processes : Final report.Reporthttp://purl.org/coar/resource_type/c_93fcuuid:f5f2d369-f347-418c-99f9-fa5ddc8864f2Department of Economics - ePrintsDepartment of Economics (University of Oxford)1998Muellbauer, JHendry, DDoornik, JCameron, GOur research concerned modelling strategies for cointegrated systems, required because distributions of estimators and tests are affected by data being integrated (denoted I(1)) and cointegrated. Its five main aims were to: 1. develop system analyses, with weak exogeneity tests, for small samples of I(1) data; 2. study inference problems in I(1) systems, tabulating or approximating critical-values; 3. develop congruent, theory consistent, and encompassing approaches to cointegrated I(1) processes; 4. empirically apply these to housing, consumption, portfolio behaviour, productivity and competitiveness; 5. develop a powerful software system for Monte Carlo simulation of the approach. |
| spellingShingle | Muellbauer, J Hendry, D Doornik, J Cameron, G Modelling Cointegrated Processes : Final report. |
| title | Modelling Cointegrated Processes : Final report. |
| title_full | Modelling Cointegrated Processes : Final report. |
| title_fullStr | Modelling Cointegrated Processes : Final report. |
| title_full_unstemmed | Modelling Cointegrated Processes : Final report. |
| title_short | Modelling Cointegrated Processes : Final report. |
| title_sort | modelling cointegrated processes final report |
| work_keys_str_mv | AT muellbauerj modellingcointegratedprocessesfinalreport AT hendryd modellingcointegratedprocessesfinalreport AT doornikj modellingcointegratedprocessesfinalreport AT camerong modellingcointegratedprocessesfinalreport |