Different Estimations of Cointegrating Vectors and Their Impact on Short Run Dynamics

Baiding Hu and Brett Inder

No 267402, Department of Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: We use a Monte Carlo study to compare the precision of estimates of the parameters of an Error Correction Model when different estimators of the long run relationship are employed. We also compare forecasting performance.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 13
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Persistent link: https://EconPapers.repec.org/RePEc:ags:monebs:267402

DOI: 10.22004/ag.econ.267402

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