Nonlinear estimation using estimated cointegrating relations
نویسندگان
چکیده
منابع مشابه
Nonlinear estimation using estimated cointegrating relations
The Granger}Engle procedure consists of two steps. In the "rst step, a long-run cointegrating relationship is estimated, and in the second stage, this estimated long-run relationship is used to estimate a distributed lag model. This paper establishes the limit distribution of the second-stage estimator if the model estimated in the second stage is other than linear. One may expect that the esti...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2001
ISSN: 0304-4076
DOI: 10.1016/s0304-4076(00)00075-0