Some small sample properties of cointegrated labour demand models

Mikael Linden
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Mikael Linden: University of Helsinki

Finnish Economic Papers, 1990, vol. 3, issue 1, 54-60

Abstract: The small sample properties of the cointegrated labour demand models are studied with some Monte Carlo experiments. The results indicate that the Engle-Granger two-step estimation procedure gives biased OLS-estimates in small samples for the cointegrated vector and the error correction parameters. Much better OLS-estimates are found with long run restrictions proposed by economic theory.

Date: 1990
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