The University of Southampton
University of Southampton Institutional Repository

Omitted variables in cointegration analysis

Pashourtidou, Nicoletta (2003) Omitted variables in cointegration analysis , Southampton University of Southampton (Discussion Papers in Economics and Econometrics, 304).

Record type: Monograph (Discussion Paper)

Abstract

This paper investigates the effects of the omission of relevant variables from the statistical model on cointegration analysis, proposed by Johansen (1988, 1991). We show that underspecification of the statistical model leads to either failure in detecting cointegration or underestimation of the cointegrating rank. Although in the underspecified statistical model the estimator of the detected cointegrating vectors is shown to be consistent, this is not the case for the estimators of the adjustment coefficient matrix and the variance of the error term. The asymptotic analysis is supplemented by a Monte Carlo experiment and an empirical example.

PDF 0304.pdf - Version of Record
Download (417kB)

More information

Published date: 2003
Keywords: cointegration, omitted variables, asymptotics, Monte Carlo

Identifiers

Local EPrints ID: 33205
URI: http://eprints.soton.ac.uk/id/eprint/33205
PURE UUID: 47c5bcef-276e-47a1-a615-b22087018e16

Catalogue record

Date deposited: 18 May 2006
Last modified: 17 Jul 2017 15:53

Export record

Contributors

Author: Nicoletta Pashourtidou

University divisions

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of http://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×