Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
EconometricaPublished 1 September 1987
James H. Stock
Citations1,478
SJR quartileQ1
SJR score21.09
SNIP5.31
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Abstract
On utilise la theorie du processus cointegre pour montrer que ces estimateurs ont des proprietes asymptotiques differentes de celles des estimateurs des moindres carres dans les series temporelles stationnaires
Keywords
Economics, Econometrics and Finance
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