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dc.contributor.authorHassler, Uween_US
dc.contributor.authorWolters, Jürgenen_US
dc.date.accessioned2006-02-14en_US
dc.date.accessioned2009-09-25T13:28:02Z-
dc.date.available2009-09-25T13:28:02Z-
dc.date.issued2005en_US
dc.identifier.urihttp://hdl.handle.net/10419/28020-
dc.description.abstractThis paper considers cointegration analysis within an autoregressive distributed lag (ADL) framework. First, different reparameterizations and interpretations are reviewed. Then we show that the estimation of a cointegrating vector from an ADL specification is equivalent to that from an error-correction (EC) model. Therefore, asymptotic normality available in the ADL model under exogeneity carries over to the EC estimator. Next, we review cointegration tests based on EC regressions. Special attention is paid to the effect of linear time trends in case of regressions without detrending. Finally, the relevance of our asymptotic results in finite samples is investigated by means of computer experiments. In particular, it turns out that the conditional EC model is superior to the unconditional one.en_US
dc.language.isoengen_US
dc.publisherFreie Univ., Fachbereich Wirtschaftswiss. Berlinen_US
dc.relation.ispartofseriesDiskussionsbeiträge des Fachbereichs Wirtschaftswissenschaft der Freien Universität Berlin 2005/22en_US
dc.subject.jelC22en_US
dc.subject.jelC32en_US
dc.subject.ddc330en_US
dc.subject.keywordError-correction , asymptotically normal inference , cointegration testingen_US
dc.subject.stwKointegrationen_US
dc.subject.stwTheorieen_US
dc.titleAutoregressive distributed lag models and cointegrationen_US
dc.typeWorking Paperen_US
dc.identifier.ppn507401956en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:fubsbe:200522-
Appears in Collections:Diskussionsbeiträge, FB Wirtschaftswissenschaft, FU Berlin

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