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- Summary, etc.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. We demonstrate that the role of leads is related to the concept of Granger causality and that in some cases leads are unnecessary in the dynamic OLS estimation of cointegrating regression models. Based on a Mo......imulation, we find that the dynamic OLS estimator without leads substantially ......orms that with leads and lags; we therefore recommend testing for Granger n...... before estimating models.
- Subject HeadingCointegration dynamic ordinary least squares estimator Gr...
- Contributor社会科学における統計分析拠点構築 = Research Unit for Statistical Analysis in Social Sciences