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Details for article 145 of 198 found articles
| Title: |
Small sample estimation of a cointegrating vector: an empirical evaluation of six estimation techniques |
| Author: |
Abeysinghe, Tilak Boon, Tan Khay |
| Appeared in: |
Applied economics letters |
| Paging: | Volume 6 (1999) nr. 10 pages 645-648 |
| Year: |
1999-10-01 |
| Contents: |
A large number of techniques are now available for estimating a cointegrating regression. Although many of these techniques provide asymptotically equivalent estimators, their small-sample properties are known only with respect to a limited number of Monte Carlo studies. In light of the growing controversy over the nature of non-stationarity of economic time series, a comprehensive evaluation of these techniques within an applied framework can shed more light on the relative merits of these techniques. An estimation of long-run demand elasticities by six such techniques based on annual data from Canada, China and Singapore show rather disconcerting results. In small samples OLS may still be the best choice. |
| Publisher: |
Routledge |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 145 of 198 found articles
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