Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/28020 
Kompletter Metadatensatz
DublinCore-FeldWertSprache
dc.contributor.authorHassler, Uween
dc.contributor.authorWolters, Jürgenen
dc.date.accessioned2006-02-14-
dc.date.accessioned2009-09-25T13:28:02Z-
dc.date.available2009-09-25T13:28:02Z-
dc.date.issued2005-
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
dc.language.isoengen
dc.publisher|aFreie Universität Berlin, Fachbereich Wirtschaftswissenschaft |cBerlinen
dc.relation.ispartofseries|aDiskussionsbeiträge |x2005/22en
dc.subject.jelC22en
dc.subject.jelC32en
dc.subject.ddc330en
dc.subject.keywordError-correction , asymptotically normal inference , cointegration testingen
dc.subject.stwKointegrationen
dc.subject.stwTheorieen
dc.titleAutoregressive distributed lag models and cointegration-
dc.typeWorking Paperen
dc.identifier.ppn507401956en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:fubsbe:200522en

Datei(en):
Datei
Größe
227.71 kB





Publikationen in EconStor sind urheberrechtlich geschützt.