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Simultaneous Equations Bias in Level VAR Estimation

Published online by Cambridge University Press:  11 February 2009

P.C.B. Phillips
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Abstract

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Type
Solutions
Information
Econometric Theory , Volume 9 , Issue 2 , April 1993 , pp. 326 - 328
Copyright
Copyright © Cambridge University Press 1993

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References

1.Phillips, P.C.B. Optimal inference in cointegrated systems. Cowles Foundation Discussion Paper No. 866, Econometrica (forthcoming), (1988/1991).Google Scholar
2.Phillips, P.C.B.Partially identified econometric models. Econometric Theory 5 (1989): 181–240.CrossRefGoogle Scholar
3.Phillips, P.C.B. & Durlauf, S.N.. Multiple time series with integrated variables. Review of Economic Studies 53 (1986): 473–496.CrossRefGoogle Scholar
4.Stock, J.H.Asymptotic properties of least squares estimators of cointegrating vectors. Econometrica 55 (1987): 1035–1056.CrossRefGoogle Scholar