The Performance of Subspace Algorithm Cointegration Analysis: A Simulation Study
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References listed on IDEAS
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"A Comparison of Johansen's, Bierens' and the Subspace Algorithm Method for Cointegration Analysis,"
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More about this item
KeywordsState space representation; cointegration; subspace algorithms; simulation study;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-06-16 (All new papers)
- NEP-CMP-2003-06-16 (Computational Economics)
- NEP-ECM-2003-06-19 (Econometrics)
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