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
Vita.Since Engle and Granger (1987) first introduced the concept of cointegration, researchers have ...
Imposing cointegration on a forecasting system, if cointegration is present, is believed to improve ...
AbstractThis note compares the forecasting performance of four estimation methods of a cointegrated ...
This paper compares several methods (ordinary least squares, nonlinear least squares, maximum likeli...
The relationship between cointegration and error correction models, first suggested by Granger, is h...
abstract: this paper investigates the forecasting performance of cointegrated systems by simulation....
It is widely recognized that taking cointegration relationships into consideration is useful in fore...
A large number of techniques are now available for estimating a cointegrating regression. Although m...
We consider the implications for forecast accuracy of imposing unit roots and cointegrating restrict...
We consider the implications for forecast accuracy of imposing unit roots and cointegrating restrict...
The Johansen procedure for testing and estimating cointegration models is analysed from a practition...
The cointegration literature suggests that forecast errors may be reduced by incorporating the knowl...
This paper deals with estimation and testing for cointegration when deterministic trends are present...
The thesis deals with the concept of cointegration which represents appropriate tool in the analysis...
Hansen and Seo (2002) outline procedures to test for threshold cointegration, and to estimate a bi-v...
Vita.Since Engle and Granger (1987) first introduced the concept of cointegration, researchers have ...
Imposing cointegration on a forecasting system, if cointegration is present, is believed to improve ...
AbstractThis note compares the forecasting performance of four estimation methods of a cointegrated ...
This paper compares several methods (ordinary least squares, nonlinear least squares, maximum likeli...
The relationship between cointegration and error correction models, first suggested by Granger, is h...
abstract: this paper investigates the forecasting performance of cointegrated systems by simulation....
It is widely recognized that taking cointegration relationships into consideration is useful in fore...
A large number of techniques are now available for estimating a cointegrating regression. Although m...
We consider the implications for forecast accuracy of imposing unit roots and cointegrating restrict...
We consider the implications for forecast accuracy of imposing unit roots and cointegrating restrict...
The Johansen procedure for testing and estimating cointegration models is analysed from a practition...
The cointegration literature suggests that forecast errors may be reduced by incorporating the knowl...
This paper deals with estimation and testing for cointegration when deterministic trends are present...
The thesis deals with the concept of cointegration which represents appropriate tool in the analysis...
Hansen and Seo (2002) outline procedures to test for threshold cointegration, and to estimate a bi-v...
Vita.Since Engle and Granger (1987) first introduced the concept of cointegration, researchers have ...
Imposing cointegration on a forecasting system, if cointegration is present, is believed to improve ...
AbstractThis note compares the forecasting performance of four estimation methods of a cointegrated ...
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