Two Mixed Normal Densities from Cointegration Analysis

Posted: 15 Jan 2012

See all articles by Karim M. Abadir

Karim M. Abadir

Imperial College Business School

Paolo Paruolo

European Commission Joint Research Center; European Commission DG Joint Research Centre

Date Written: 1997

Abstract

We derive explicitly the exact density functions of two key mixed normal variates that arise from cointegration analysis. We also plot them, and analyze their analytical features and implications.

Suggested Citation

Abadir, Karim M. and Paruolo, Paolo, Two Mixed Normal Densities from Cointegration Analysis (1997). Econometrica, Vol. 65, No. 3, p. 671, 1997. Available at SSRN: https://ssrn.com/abstract=1985514

Karim M. Abadir (Contact Author)

Imperial College Business School ( email )

South Kensington Campus
Exhibition Road
London SW7 2AZ, SW7 2AZ
United Kingdom

HOME PAGE: http://www3.imperial.ac.uk/portal/page?_pageid=61,629646&_dad=portallive&_schema=PORTALLIVE

Paolo Paruolo

European Commission Joint Research Center ( email )

1049
Belgium

European Commission DG Joint Research Centre ( email )

Via E.Fermi 2749
Ispra, Varese I-21027
Italy

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