On the maximum likelihood cointegration procedure under a fractional equilibrium error

被引：8

作者：

Andersson, MK ^{[1
]}

Gredenhoff, MP ^{[1
]}

机构：

[1] Stockholm Sch Econ, Dept Econ Stat, S-11383 Stockholm, Sweden

来源：

ECONOMICS LETTERS | 1999年 / 65卷 / 02期

关键词：

error correction; likelihood ratio test; fractional integration; long-run relations;

D O I：

10.1016/S0165-1765(99)00144-5

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper examines the usual maximum likelihood procedure under fractional cointegration. The Lagrange multiplier test poses the ability of detecting cointegration relations when deviations from equilibrium are persistent. However, the estimates of the long-run relations are severely biased. (C) 1999 Published by Elsevier Science S.A. All rights reserved. JEL classification: C12; C32.

引用

页码：143 / 147

页数：5