Different Estimations of Cointegrating Vectors and Their Impact on Short Run Dynamics

We use a Monte Carlo study to compare the precision of estimates of the parameters of an Error Correction Model when different estimators of the long run relationship are employed. We also compare forecasting performance.


Issue Date:
Dec 01 1992
Publication Type:
Working or Discussion Paper
Language:
English
Total Pages:
13
JEL Codes:
C22
Series Statement:
Working Paper No. 16/92




 Record created 2018-01-30, last modified 2018-01-31

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