On the identification of cointegrated sy
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Jennifer V Greenslade; Stephen G Hall; S.G.Brian Henry
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Article
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2002
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Elsevier Science
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English
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This paper discusses the practical application of identiรฟcation 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