Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors
From MaRDI portal
Publication:302107
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
cointegrationcanonical cointegrating regressionsdynamic ordinary least squares regressionsfully modified regressionssecond-order bias
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items
Limiting distribution of the score statistic under moderate deviation from a unit root in MA(1), How useful is yet another data-driven bandwidth in long-run variance estimation? A simulation study on cointegrating regressions, Pitfalls in Estimating Cointegrating Vector when Cointegration Relationship has Nonlinear Adjustment, Asymptotic properties of bubble monitoring tests, Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Estimating Long-Run Economic Equilibria
- A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Limit theory for moderate deviations from a unit root
- Comparing cointegrating regression estimators:
- Asymptotics for linear processes
- Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments.
- Estimating long-run relationships in economics. A comparison of different approaches
- Uniform Limit Theory for Stationary Autoregression
- DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION
- Towards a unified asymptotic theory for autoregression
- Canonical Cointegrating Regressions
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Automatic Lag Selection in Covariance Matrix Estimation
- ESTIMATION AND INFERENCE ON LONG-RUN EQUILIBRIA: A SIMULATION STUDY
- LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- KERNEL AND BANDWIDTH SELECTION, PREWHITENING, AND THE PERFORMANCE OF THE FULLY MODIFIED LEAST SQUARES ESTIMATION METHOD
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
- Fully Modified Least Squares and Vector Autoregression