Far East Journal of Theoretical Statistics
Volume 21, Issue 2, Pages 241 - 253
(March 2007)
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GENERALISED EMPIRICAL LIKELIHOOD FOR COINTEGRATING REGRESSIONS
Francesco Bravo (United Kingdom)
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Abstract: This paper shows how the generalised empirical likelihood
method can be used to obtain valid asymptotic inference in the context of
cointegrating regression models. Monte Carlo evidence seems to suggest that the
proposed method performs very well in finite samples. |
Keywords and phrases: cointegration, empirical likelihood, integrated process. |
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