significance (χ²(3) = 1.85, p-
11
page
value = 0.60).9 In contrast, the null of weak exogeneity of il has to be rejected at all levels of
significance (χ²(1)= 21.41, p-value = 0.00). Summing [...] 05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen
No. of CE(s) [...] 05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Therefore, it seems reasonable to restrict the VECM to one cointegration relationship and
page Tabelle
Datenquelle
r1 r2 r3 r4
XA XB E(RP) sP sP sP sP
0,000 1,000 5,00 15,00 15,00 15,00 15,00
0,001 0,999 5,00 15,01 [...] Creation-Date 1996-10-17T05:27:31Z
resourceName /var/www/public/files/oth-aw/Professoren/Rottmann/P_Portfoliomoeglichkeitenkurven.xls
dcterms:created 1996-10-17T05:27:31Z
Last-Author Horst Rottmann
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(Hg.), Macroeconometrics: Developments, Tensions and Prospects, Boston, S. 263-312.
seitz Evans, P. (1985), Money, Output and Goodhart's Law: The U.S. Experience, The Review of Economics and Statistics [...] seitz Goodhart, C. (1989), Money, Information and Uncertainty, 2. A., Hong Kong.
seitz Hansen, L.P. (1982), Large Sample Properties of Generalized Method of Moments Estimators, Econometrica, Vol. 50 [...] Meltzer, A.H. (Hg.), The Phillips Curve and Labor Markets, North-Holland, S. 19-46.
seitz Masson, P., Symansky, S., Haas, R., Dooley, M. (1988), MULTIMOD: A Multi-Region Econometric Model, IMF Working