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Adaptive Estimation of Cointegrated Models Simulation, Evidence and Application to the Forward Exchange Market

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  • Hodgson, D.J.

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Bibliographic Info

Paper provided by University of Rochester - Center for Economic Research (RCER) in its series RCER Working Papers with number 409.

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Length: 57 pages
Date of creation: 1995
Date of revision:
Handle: RePEc:roc:rocher:409

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Postal: University of Rochester, Center for Economic Research, Department of Economics, Harkness 231 Rochester, New York 14627 U.S.A.

Related research

Keywords: EVALUATION; COINTEGRATION;

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Cited by:
  1. Hodgson, Douglas J., 1998. "Adaptive estimation of cointegrating regressions with ARMA errors," Journal of Econometrics, Elsevier, vol. 85(2), pages 231-267, August.

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