Kiviet, J.F.

paper model variable monte carlo experiments issue econometrics series system sample result study meeting tinbergen institute procedure amsterdam structure problem cointegration conference institute research university unit roots focus december relationship inference context identification carlo economic aspect monte kiviet herman faculty poster sessions author value tinbergen time series papers focus experiment var model trend time-series data erasmus university condition rotterdam session dynamic vector arma models analysis stock other hypothesis testing problem nonseasonal unit roots lagrange multiplier tests erasmus university rotterdam impulse response functions univariate time series residual-based dickeyyfuller test equation johansen modelling netherland van dijk /journal 1018 wb amsterdam herman van dijk erasmu introduction use regression methods exogenou unit root problem context soren johansen distribution article nonstationarity impulse response function error correction relationships