COINTEGRATING POLYNOMIAL REGRESSIONS: FULLY MODIFIED OLS ESTIMATION AND INFERENCE

DOI10.1017/S0266466615000213zbMath1395.62282OpenAlexW2214569073MaRDI QIDQ2976210

Seung-Hyun Hong, Martin Wagner

Publication date: 28 April 2017

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466615000213

zbMATH Keywords

polynomial regressionsGaussian mixture limiting distribution

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02)

Related Items (5)

Fully modified least squares estimation and inference for systems of cointegrating polynomial regressions ⋮ Panel cointegrating polynomial regressions: group-mean fully modified OLS estimation and inference ⋮ The Phillips unit root tests for polynomials of integrated processes ⋮ The Phillips unit root tests for polynomials of integrated processes revisited ⋮ Fully modified OLS estimation and inference for seemingly unrelated cointegrating polynomial regressions and the environmental Kuznets curve for carbon dioxide emissions

Cites Work

• Unnamed Item
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• The Phillips unit root tests for polynomials of integrated processes
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• The Bierens test for certain nonstationary models
• Multiple test procedures for arbitrary dependence structures
• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
• A CUSUM test for cointegration using regression residuals
• Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity
• TESTS FOR NONLINEAR COINTEGRATION
• A stagewise rejective multiple test procedure based on a modified Bonferroni test
• Automatic Lag Selection in Covariance Matrix Estimation
• Nonlinear Regressions with Integrated Time Series
• An improved Bonferroni procedure for multiple tests of significance
• Economic Growth and the Environment
• Fully Modified Least Squares and Vector Autoregression

This page was built for publication: COINTEGRATING POLYNOMIAL REGRESSIONS: FULLY MODIFIED OLS ESTIMATION AND INFERENCE