Some small sample properties of cointegrated labour demand models
AbstractThe small sample properties of the cointegrated labour demand models are studied with some Monte Carlo experiments. The results indicate that the Engle-Granger two-step estimation procedure gives biased OLS-estimates in small samples for the cointegrated vector and the error correction parameters. Much better OLS-estimates are found with long run restrictions proposed by economic theory.
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Bibliographic InfoArticle provided by Finnish Economic Association in its journal Finnish Economic Papers.
Volume (Year): 3 (1990)
Issue (Month): 1 (Spring)
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- Phillips, Peter C B & Ouliaris, S, 1990.
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