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Some small sample properties of cointegrated labour demand models

  • Mikael Linden

    (University of Helsinki)

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    The 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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    File URL: http://taloustieteellinenyhdistys.fi/images/stories/fep/f1990_1e.pdf
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    Article provided by Finnish Economic Association in its journal Finnish Economic Papers.

    Volume (Year): 3 (1990)
    Issue (Month): 1 (Spring)
    Pages: 54-60

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    Handle: RePEc:fep:journl:v:3:y:1990:i:1:p:54-60
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    1. Peter C.B. Phillips & Sam Ouliaris, 1987. "Asymptotic Properties of Residual Based Tests for Cointegration," Cowles Foundation Discussion Papers 847R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1988.
    2. Schwert, G. William, 1987. "Effects of model specification on tests for unit roots in macroeconomic data," Journal of Monetary Economics, Elsevier, vol. 20(1), pages 73-103, July.
    3. Breusch, Trevor S & Wickens, Michael R., 1987. "Dynamic Specification, the Long Run and the Estimation of Transformed Regression Models," CEPR Discussion Papers 154, C.E.P.R. Discussion Papers.
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