Autore: Kostial, Kristina
Titolo: The role of the signal-noise ratio in cointegrated systems
Periodico: European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1994 - Fascicolo: 27 - Pagina iniziale: 1 - Pagina finale: 31

This paper studies the impact of the signal-noise ratio on the estim ates of the parameters of cointegrated system s in small samples. The concept of canonical correlations as exploited by the Johansen Maximum Likelihood procedure is proven to measure the signednoise ratio. A M onte-Carlo study for cointegrated system s with small signal-noise ratios shows that the Johansen estimator has low biases although the Johansen tests underestimate the rank of the cointegrating space. In contrast, the Fully Modified OLS estimator is found to be significantly biased in certain cases. Reanalyzing and re-estim ating with the FM -OLS estimator of two empirical studies illustrates these results.


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Testo completo: http://hdl.handle.net/1814/506

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