Cointegration Tests Using Instrumental Variables
This paper proposes new cointegration tests based on instrumental variable (IV) estimation. An important property of our tests is that the asymptotic distribution remains standard normal (or Chi-square) regardless of the number of regressors, differing deterministic terms, structural dummies, and in...
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| Glavni autori: | , |
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| Format: | Artigo |
| Jezik: | Inglês |
| Izdano: |
World Scientific Publishing
2022-06-01
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| Serija: | International Journal of Empirical Economics |
| Teme: | |
| Online pristup: | https://www.worldscientific.com/doi/10.1142/S2810943022500068 |
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