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Testing structural hypotheses on cointegration relations with small samples

✍ Scribed by S Zhou

Book ID
110929603
Publisher
Oxford University Press
Year
2000
Tongue
English
Weight
125 KB
Volume
38
Category
Article
ISSN
0095-2583

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This paper discusses the practical application of identiΓΏcation 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