Optimal estimation of cointegrated systems with irrelevant instruments
Publication:2511780
DOI10.1016/j.jeconom.2013.08.022zbMath1293.62200OpenAlexW3123172898MaRDI QIDQ2511780
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
asymptotic efficiencyorthonormal basiscoverage probabilityoptimal estimationinstrumental variablesKarhunen-Loève representationcointegrated systemirrelevant instrumentsieve estimation of stochastic processestrend basistrend likelihood
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Functional limit theorems; invariance principles (60F17)
Related Items (12)
Cites Work
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