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Inference in Cointegrating Models: UK M1 Revisited

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

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

Suggested Citation

  • Doornik, Jurgen A & Hendry, David F & Nielsen, Bent, 1998. " Inference in Cointegrating Models: UK M1 Revisited," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 533-572, December.
  • Handle: RePEc:bla:jecsur:v:12:y:1998:i:5:p:533-72
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