Structural analysis of vector error correction models with exogenous I(1) variables

Journal of Econometrics

Volumn 97, Issue 2, 2000, Pages 293-343

  Pesaran, M Hashem ^a   Shin, Yongcheol ^b   Smith, Richard J ^c  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^b UNIVERSITY OF EDINBURGH   (United Kingdom)

^c UNIVERSITY OF BRISTOL   (United Kingdom)

Author keywords

Cointegration; Critical values; Likelihood ratio statistics; Monte Carlo simulations; Purchasing power parity; Seemingly unrelated regression; Structural vector error correction model; Uncovered interest rate parity; Unit roots

Indexed keywords

EID: 0000877584     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(99)00073-1     Document Type: Article

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