Title of article :
Which vintage of data to use when there are multiple vintages of data?: Cointegration, weak exogeneity and common factors
Author/Authors :
K. D. Patterson، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2000
Abstract :
Multiple vintages of data on the same variable are a pervasive feature of published data. This creates problems for empirical research, which requires a single observation series for each variable. This paper adopts an explicitly multivariate approach to solve this and related problems. Based on common factors and weak exogeneity, I show which vintage, or linear combination, of vintages should be used and how to test for cointegration with multiple vintages of data
Keywords :
Common factor , Weak exogeneity , Preliminary data
Journal title :
Economics Letters
Journal title :
Economics Letters