| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5097530 | Journal of Econometrics | 2007 | 6 Pages |
Abstract
It is argued that what is the dominant approach to analyzing systems of cointegrated variables is not well described as general-to-specific (gets) modelling. The gets approach was developed during the last decades predominantly in a single equation framework. For multivariate modelling and especially cointegration analysis the leading approach is better classified as bottom-up or specific-to-general (spec) modelling.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Helmut Lütkepohl,