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| Author: | Deschamps, P. |
| Title: | Exact small-sample inference in stationary, fully regular, dynamic demand models |
| Journal: | Journal of Econometrics
2000 : JUL, VOL. 97:1, p. 51-91 |
| Index terms: | VECTOR AUTOREGRESSION MODELS MARKOV CHAINS MONTE CARLO TECHNIQUE |
| Language: | eng |
| Abstract: | Asymptotics are known to be unreliable in multivariate models with cross-equation or non-linear restrictions, and the dimension of the problem makes bootstrapping impractical. In this paper, finite sample results are obtained by Markov chain Monte Carlo methods for a nearly non-stationary VAR, and for a different dynamic demand model with homogeneity, Slutsky symmetry, and negativity. The full likelihood function is used in each case. |
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