Optimal Inference in Cointegrated Systems

DOI10.2307/2938258zbMath0729.62104OpenAlexW2164599393MaRDI QIDQ3354959

Peter C. B. Phillips

Publication date: 1991

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d08/d0866-r.pdf

zbMATH Keywords

unit rootsvector time seriesvector autoregressionerror correction modelslocally asymptotically mixed normalLAMN familymaximum likelihood estimates of cointegrated systemsSUR systems

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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