Johansen’s Reduced Rank Estimator Is GMM
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Cited by:
- Luca Nocciola, 2022.
"Finite Sample Forecast Properties and Window Length Under Breaks in Cointegrated Systems,"
Advances in Econometrics, in: Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling, volume 43, pages 167-196,
Emerald Group Publishing Limited.
- Luca Nocciola, "undated". "Finite sample forecast properties and window length under breaks in cointegrated systems," Discussion Papers 19/07, University of Nottingham, Granger Centre for Time Series Econometrics.
- Rocco Mosconi & Paolo Paruolo, 2022. "Celebrated Econometricians: Katarina Juselius and Søren Johansen," Econometrics, MDPI, vol. 10(2), pages 1-4, May.
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Keywords
GMM; VECM; reduced rank;All these keywords.
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