๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Estimating cointegration parameters: an application of the double bootstrap

โœ Scribed by H.D. Vinod; B.D. McCullough


Publisher
Elsevier Science
Year
1995
Tongue
English
Weight
532 KB
Volume
43
Category
Article
ISSN
0378-3758

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


The Effect of Estimating Parameters on L
โœ Hiroaki Chigira; Taku Yamamoto ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 412 KB

## ABSTRACT This paper concerns Longโ€term forecasts for cointegrated processes. First, it considers the case where the parameters of the model are known. The paper analytically shows that neither cointegration nor integration constraint matters in Longโ€term forecasts. It is an alternative implicati

Adaptive estimation of cointegrated mode
โœ Douglas J. Hodgson ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 285 KB ๐Ÿ‘ 1 views

The paper reports simulation and empirical evidence on the ยฎnite-sample performance of adaptive estimators in cointegrated systems. Adaptive estimators are asymptotically ecient, even when the shape of the likelihood function is unknown. We consider two representations of cointegrated systems ร tria