Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors

DOI10.1016/j.jeconom.2008.11.003zbMath1429.62400OpenAlexW2064703878MaRDI QIDQ302107

Kazuhiko Hayakawa, Eiji Kurozumi

Publication date: 4 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://ir.lib.hiroshima-u.ac.jp/files/public/2/26403/20141016154147821406/JEconometrics_149_118.pdf

zbMATH Keywords

cointegrationcanonical cointegrating regressionsdynamic ordinary least squares regressionsfully modified regressionssecond-order bias

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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