Effects of a signal-to-noise ratio on finite sample inference for cointegrating vectors
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DOI: 10.1016/j.matcom.2010.03.008
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More about this item
Keywords
Signal-to-noise ratio; Permanent shock; Transitory shock; Finite sample inference; Cointegrating vector;All these keywords.
JEL classification:
- 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
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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