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Cointegration in partial systems and the efficiency of single-equation analysis. (English) Zbl 0747.62115
Summary: It is shown how one can estimate cointegration relations in a partially modelled system by the method of maximum likelihood. The estimator is compared with the estimator based on the full system, and it is shown that the two estimators are identical if the conditioning variables are weakly exogenous for the cointegrating relations and their adjustment coefficients. Suggestions are made for analyzing the partial system, when there is no weak exogeneity.

MSC:
62P20 Applications of statistics to economics
62E20 Asymptotic distribution theory in statistics
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