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Inference in Cointegrating Models: UK M1 Revisited

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Author Info

  • Jurgen A. Doornik
  • David F. Hendry
  • Bent Nielsen

Abstract

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 asymptotic equivalents; dummy variables alter critical values, often greatly; multiple cointegration vectors must be identified to allow inference; the data may be 1(2) rather than 1(1), altering distributions; and conditioning must be done with care. These issues are illustrated by an empirical application of multivariate cointegration analysis to a small model of narrow money, prices, output and interest rates in the UK. Copyright 1998 by Blackwell Publishers Ltd

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File URL: http://hdl.handle.net/10.1111/1467-6419.00067
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Bibliographic Info

Article provided by Wiley Blackwell in its journal Journal of Economic Surveys.

Volume (Year): 12 (1998)
Issue (Month): 5 (December)
Pages: 533-572

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Handle: RePEc:bla:jecsur:v:12:y:1998:i:5:p:533-572

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0950-0804

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