Instrumental variables estimation of stationary and non‐stationary cointegrating regressions (Q5488518): Difference between revisions

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+Spurious regressions between I(1) processes with long memory errors
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+Root-\(n\)-consistent estimation of weak fractional cointegration
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+ON ASYMPTOTIC INFERENCE IN COINTEGRATED TIME SERIES WITH  FRACTIONALLY INTEGRATED ERRORS
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+Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
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+Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments.
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+Weak convergence of multivariate fractional processes
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+INSTRUMENTAL VARIABLE INTERPRETATION OF COINTEGRATION WITH  INFERENCE RESULTS FOR FRACTIONAL COINTEGRATION
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+Understanding spurious regressions in econometrics
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+Statistical Inference in Instrumental Variables Regression with I(1) Processes
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+Cointegration in Fractional Systems with Unknown Integration Orders
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+Gaussian estimation of parametric spectral density with unknown pole
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+Determination of cointegrating rank in fractional systems.
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+Testing for Common Trends
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+The spurious regression of fractionally integrated processes
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