Polynomial cointegration estimation and test

This paper develops statistical tools to analyze the multivariate time series which can be represented with a polynomial error correction model as introduced by Gregoir and Laroque (1993). We propose an identification criterion for the error correction terms, which fits with the estimation procedure...

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Bibliographic details
Volume: 63
Main Author: Gregoir, Stéphane
Laroque, Guy
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: LAUSANNE 1 Elsevier B.V 1994
ELSEVIER SCIENCE SA LAUSANNE
Elsevier
Elsevier Science Publishers
North-Holland Pub. Co
published in: Journal of econometrics Vol. 63; no. 1; pp. 183 - 214
Data of publication: 1994
ISSN: 0304-4076
1872-6895
EISSN: 1872-6895
Discipline: Economics
Statistics
Mathematics
Series: Journal of Econometrics
Subjects:
C52
C32
Online Access: Fulltext
Database: Web of Knowledge
Social Sciences Citation Index
Web of Science
Web of Science - Social Sciences Citation Index - 1994
RePEc IDEAS
RePEc
CrossRef
Academic OneFile (A&I only)
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