haku: @journal_id 1341 / yhteensä: 156
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| Tekijä: | Deschamps, P. |
| Otsikko: | Exact small-sample inference in stationary, fully regular, dynamic demand models |
| Lehti: | Journal of Econometrics
2000 : JUL, VOL. 97:1, p. 51-91 |
| Asiasana: | VECTOR AUTOREGRESSION MODELS MARKOV CHAINS MONTE CARLO TECHNIQUE |
| Kieli: | eng |
| Tiivistelmä: | 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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