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| Author: | Perasan, M. Shin, Y. Smith, R. |
| Title: | Structural analysis of vector error correction models with exogenous I(1) variables |
| Journal: | Journal of Econometrics
2000 : AUG, VOL. 97:2, p. 293-343 |
| Index terms: | COINTEGRATION UNIT ROOTS MONTE CARLO TECHNIQUE |
| Language: | eng |
| Abstract: | This paper generalizes the existing cointegration analysis literature in two respects. Firstly, the problem of efficient estimation of vector error correction models containing exogenous I(1) variables is examined. The asymptotic distributions of the (log-)likelihood ratio statistics for testing cointegrating rank are derived under different intercept and trend specifications and their respective critical values are tabulated. |
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