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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| Autors principals: | , |
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| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
World Scientific Publishing
2022-06-01
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| Col·lecció: | International Journal of Empirical Economics |
| Matèries: | |
| Accés en línia: | https://www.worldscientific.com/doi/10.1142/S2810943022500068 |
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