On the identification of cointegrated sy
✍
Jennifer V Greenslade; Stephen G Hall; S.G.Brian Henry
📂
Article
📅
2002
🏛
Elsevier Science
🌐
English
⚖ 156 KB
This paper discusses the practical application of identiÿcation in cointegrated systems. It will argue that in a common realistic modelling situation of a limited data set and the theory requirements of a fairly rich model, the techniques proposed in the existing literature are almost impossible to