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ID 26402
file
creator
Kurozumi, Eiji
subject
cointegration
dynamic ordinary least squares estimator
granger causality
NDC
Economics
abstract
In this paper, we consider the role of “leads" of the first difference of integrated variables in the dynamic OLS estimation of cointegrating regression models. Specifically, we investigate Stock and Watson's [J.H. Stock, M.W. Watson's, A simple estimator of cointegrating vectors in higher order integrated systems, Econometrica 61 (1993) 783–820] claim that the role of leads is related to the concept of Granger causality by a Monte Carlo simulation. From the simulation results, we find that the dynamic OLS estimator without leads substantially outperforms that with leads and lags; we therefore recommend testing for Granger non-causality before estimating models.
journal title
Mathematics and Computers in Simulation
volume
Volume 79
issue
Issue 3
start page
555
end page
560
date of issued
2008-12
publisher
Elsevier Ltd
issn
0378-4754
ncid
publisher doi
language
eng
nii type
Journal Article
HU type
Journal Articles
DCMI type
text
format
application/pdf
text version
author
rights
Copyright (c) 2008 IMACS Published by Elsevier Ltd.
relation is version of URL
http://dx.doi.org/10.1016/j.matcom.2008.02.027
department
Graduate School of Social Sciences



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