Optimal estimation of cointegrated systems with irrelevant instruments

DOI10.1016/j.jeconom.2013.08.022zbMath1293.62200OpenAlexW3123172898MaRDI QIDQ2511780

Peter C. B. Phillips

Publication date: 6 August 2014

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

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1829

zbMATH Keywords

asymptotic efficiencyorthonormal basiscoverage probabilityoptimal estimationinstrumental variablesKarhunen-Loève representationcointegrated systemirrelevant instrumentsieve estimation of stochastic processestrend basistrend likelihood

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Functional limit theorems; invariance principles (60F17)

Related Items (12)

SIMPLE, ROBUST, AND ACCURATEFANDtTESTS IN COINTEGRATED SYSTEMS ⋮ Fully modified least squares cointegrating parameter estimation in multicointegrated systems ⋮ Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence ⋮ High-dimensional IV cointegration estimation and inference ⋮ A new robust inference for predictive quantile regression ⋮ Semiparametric estimation in triangular system equations with nonstationarity ⋮ Determination of vector error correction models in high dimensions ⋮ Econometric estimates of Earth's transient climate sensitivity ⋮ Optimal estimation of cointegrated systems with irrelevant instruments ⋮ EXACT LOCAL WHITTLE ESTIMATION IN LONG MEMORY TIME SERIES WITH MULTIPLE POLES ⋮ NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS ⋮ Parameter estimation and inference with spatial lags and cointegration

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