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A simple estimator of cointegrating vectors in higher order integrated systems

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Author Info
James H. Stock
Mark W. Watson

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Paper provided by Federal Reserve Bank of Chicago in its series Working Paper Series, Macroeconomic Issues with number 91-3.

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Date of creation: 1991
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Publication status: Published in Econometrica, July 1993, v. 61, iss. 4, pp. 783-820
Handle: RePEc:fip:fedhma:91-3

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Keywords: Money theory ; Vector autoregression;

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This page was last updated on 2009-11-10.


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