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Comparing cointegrating regression estimators: Some additional Monte Carlo results

  • Montalvo, Jose G.
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    File URL: http://www.sciencedirect.com/science/article/B6V84-3YVCYYK-2/2/382151876ac8dec4c936db538b9ebf0d
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    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 48 (1995)
    Issue (Month): 3-4 (June)
    Pages: 229-234

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    Handle: RePEc:eee:ecolet:v:48:y:1995:i:3-4:p:229-234
    Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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    1. Park, Joon Y, 1992. "Canonical Cointegrating Regressions," Econometrica, Econometric Society, vol. 60(1), pages 119-43, January.
    2. Inder, Brett, 1993. "Estimating long-run relationships in economics : A comparison of different approaches," Journal of Econometrics, Elsevier, vol. 57(1-3), pages 53-68.
    3. James H. Stock & Mark W. Watson, 1991. "A simple estimator of cointegrating vectors in higher order integrated systems," Working Paper Series, Macroeconomic Issues 91-3, Federal Reserve Bank of Chicago.
    4. Phillips, Peter C B & Hansen, Bruce E, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Wiley Blackwell, vol. 57(1), pages 99-125, January.
    5. Peter C.B. Phillips & Mico Loretan, 1989. "Estimating Long Run Economic Equilibria," Cowles Foundation Discussion Papers 928, Cowles Foundation for Research in Economics, Yale University.
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