Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments.

DOI10.1016/S0304-4076(97)00004-3zbMath1043.62530MaRDI QIDQ1367140

Yuichi Kitamura, Peter C. B. Phillips

Publication date: 1997

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

Mathematics Subject Classification ID

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

Related Items (15)

Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors ⋮ Generalized method of moments estimation for cointegrated vector autoregressive models ⋮ Asymptotic efficiency of the ordinary least-squares estimator for SUR models with integrated regressors ⋮ Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors ⋮ Robust inference in nonlinear models with mixed identification strength ⋮ Persistence-robust surplus-lag Granger causality testing ⋮ Efficient minimum distance estimation with multiple rates of convergence ⋮ SEMI‐PARAMETRIC ESTIMATION OF LINEAR COINTEGRATING MODELS WITH NONLINEAR CONTEMPORANEOUS ENDOGENEITY ⋮ Lag‐augmented two‐ and three‐stage least squares estimators for integrated structural dynamic models ⋮ LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS ⋮ ADMISSIBLE CLUSTERING OF AGGREGATOR COMPONENTS: A NECESSARY AND SUFFICIENT STOCHASTIC SEMINONPARAMETRIC TEST FOR WEAK SEPARABILITY ⋮ Instrumental variables estimation of stationary and non‐stationary cointegrating regressions ⋮ Analysis of cointegration vectors using the GMM approach ⋮ Parameter estimation and inference with spatial lags and cointegration ⋮ Estimating stochastic volatility diffusion using conditional moments of integrated volatility

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• 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
• Understanding spurious regressions in econometrics
• Statistical analysis of cointegration vectors
• On Consistent Estimates of the Spectrum of a Stationary Time Series
• The Estimation of Economic Relationships using Instrumental Variables
• Optimal Inference in Cointegrated Systems
• Multiple Time Series Regression with Integrated Processes
• Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Canonical Cointegrating Regressions
• Fully Modified Least Squares and Vector Autoregression
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