Fully modified least squares cointegrating parameter estimation in multicointegrated systems
Multicointegration is traditionally defined as a particular long run relationship among variables in a parametric vector autoregressive model that introduces additional cointegrating links between these variables and partial sums of the equilibrium errors. This paper departs from the parametric mode...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2023
|
| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2691 https://ink.library.smu.edu.sg/context/soe_research/article/3690/viewcontent/Fully_modifiedLSC_av.pdf |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |