A Novel Method of Estimation Under Co-Integration

Alexis Lazaridis
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Alexis Lazaridis: Aristotle University of Thessaloniki, Greece

Chapter 2 in Economic Models:Methods, Theory and Applications, 2009, pp 23-42 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionSome Estimation RemarksThe Singular Value DecompositionComputing the Co-Integrating VectorsCase Study 1: Comparing Co-Integrating VectorsTesting for Co-integrationCase Study 2: Further Evidence Regarding the Minimum Variance PropertyA Note on IntegrationCase Study 3: How to Obtain Reliable Results Regarding the Order of Integration?ConclusionReferences

Keywords: Modeling; Econometrics; Mathematical Programming; Time Varying System; Monetary-Fiscal; Inflation; Health Economics; Risk; Management (search for similar items in EconPapers)
Date: 2009
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