Econometric Modelling with Cointegrated Variables: An Overview
Econometric Modelling with Cointegrated Variables: An Overview
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使用协整变量的计量经济建模：概述
DOI：
10.1111/j.1468-0084.1986.mp48003001.x
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发表时间：
2009
期刊：
影响因子：
--
通讯作者：
D. Hendry
中科院分区：
文献类型：
--
作者：
D. Hendry
本文讨论了协整计量经济建模的相关问题。例如，错误地遗漏或包含变量在某些情况下可能会显着改变模型的属性，而在其他情况下则没有影响。这篇文章表明，估计量和检验的统计特性的影响是深远的，正如有关“虚假回归”的文献所证明的那样。它强调了协整研究和相关主题的发展。
The article discusses the problems pertinent to econometric modeling from cointegration. For example, the erroneous omission or inclusion of variables could substantially alter the properties of a model in some cases, and have no effect in others. The article suggests that the consequences for the statistical properties of estimators and tests are profound as evidence by the literature on" spurious regressions." It highlights the developments in cointegration research and related topics.