Aliternative methods for estimating long-run responses with applications to australian import demand
- 1 January 1994
- journal article
- research article
- Published by Taylor & Francis Ltd in Econometric Reviews
- Vol. 13 (2), 179-204
- https://doi.org/10.1080/07474939408800283
Abstract
This paper compares and contrasts a number of single-equation and systems estimators of long-run responses with application to a three-variable import demand model. Two variants of Box and Tiao's (1977) canonical estimator are developed and associated tests for the number of cointegrating vectors are introduced. A simulation study indicates that, while both Box-Tiao estimators have empirical distributions with fatter tails than the normal, there is evidence that the incidence of extreme values is even greater with Johansen's (1988) ML procedure.Keywords
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