PC-NAIVE: An Interactive Program for Monte Carlo Experimentation in Econometrics, Version 6.01.

The paper addresses the practical determination of cointegration rank. This is difficult for many reasons: deterministic terms play a crucial role in limiting distributions, and systems may not be formulated to ensure similarity to nuisance parameters; finite-sample critical values may differ from asymptotic equivalents; dummy variables alter critical values, often greatly; multiple cointegration vectors must be identified to allow inference; the data may be I(2) rather than I(1), altering distributions; and conditioning must be done with care. These issues are illustrated by an empirical application of multivariate cointegration analysis to a small model of narrow money, prices, output and interest rates in the UK.

show abstract

Inference in Cointegrating Models: UK M1 Revisited

Doornik¹,

Hendry²,

Nielsen³

1998

Journal of Economic Surveys

Self Cite

168

120

View full text Add to dashboard Cite

show abstract

The Power of Lambda Max

Paruolo

2001

Oxf Bull Econ Stat

View full text Add to dashboard Cite

Near-Integrated Data and the Analysis of Political Relationships

DeBoef¹,

Granato²

1997

American Journal of Political Science

View full text Add to dashboard Cite

scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.

Contact Info

customersupport@researchsolutions.com

10624 S. Eastern Ave., Ste. A-614

Henderson, NV 89052, USA

This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.

Blog Terms and Conditions API Terms Privacy Policy Contact Cookie Preferences Do Not Sell or Share My Personal Information

Made with 💙 for researchers

Part of the Research Solutions Family.

PC-NAIVE: An Interactive Program for Monte Carlo Experimentation in Econometrics, Version 6.01.

Cited by 3 publications

References 0 publications

Inference in Cointegrating Models: UK M1 Revisited

Inference in Cointegrating Models: UK M1 Revisited

The Power of Lambda Max

Near-Integrated Data and the Analysis of Political Relationships

Contact Info

Product

Resources

About