Econometric inference in models with nonstationary time series
We investigate the finite sample behaviour of the ordinary least squares (OLS) estimator in vector autoregressive (VAR) models. The data generating process is assumed to be a purely nonstationary first-order VAR. Using Monte Carlo simulation and numerical optimization we derive response surfaces for...
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University of Nottingham
2010
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.523639 |