Pitfalls in Estimating Cointegrating Vector when Cointegration Relationship has Nonlinear Adjustment

DOI10.1080/03610918.2011.563005zbMath1227.62069OpenAlexW2065140831MaRDI QIDQ3102865

Daiki Maki

Publication date: 25 November 2011

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2011.563005

zbMATH Keywords

ADLcointegrationOLSnonlinear adjustmentDOLS

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Monte Carlo methods (65C05)

Cites Work

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• A comparison of autoregressive distributed lag and dynamic OLS cointegration estimators in the case of a serially correlated cointegration error
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Automatic Lag Selection in Covariance Matrix Estimation
• Threshold Cointegration
• TESTING THE EXPECTATIONS THEORY OF THE TERM STRUCTURE OF INTEREST RATES IN THRESHOLD MODELS
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Stationarity of multivariate Markov-switching ARMA models

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