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Some small sample properties of cointegrated labour demand models

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  • Mikael Linden

    (University of Helsinki)

Abstract

The small sample properties of the cointegrated labour demand models are studied with some Monte Carlo experiments. The results indicate that the Engle-Granger two-step estimation procedure gives biased OLS-estimates in small samples for the cointegrated vector and the error correction parameters. Much better OLS-estimates are found with long run restrictions proposed by economic theory.

Suggested Citation

  • Mikael Linden, 1990. "Some small sample properties of cointegrated labour demand models," Finnish Economic Papers, Finnish Economic Association, vol. 3(1), pages 54-60, Spring.
  • Handle: RePEc:fep:journl:v:3:y:1990:i:1:p:54-60
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    References listed on IDEAS

    as
    1. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    2. Schwert, G. William, 1987. "Effects of model specification on tests for unit roots in macroeconomic data," Journal of Monetary Economics, Elsevier, vol. 20(1), pages 73-103, July.
    3. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    4. Breusch, Trevor S & Wickens, Michael R., 1987. "Dynamic Specification, the Long Run and the Estimation of Transformed Regression Models," CEPR Discussion Papers 154, C.E.P.R. Discussion Papers.
    5. Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-193, January.
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