IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS

DOI10.1017/S0266466617000330zbMath1400.62328OpenAlexW2747660939MaRDI QIDQ4585030

Offer Lieberman, Peter C. B. Phillips

Publication date: 6 September 2018

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

Full work available at URL: https://doi.org/10.1017/s0266466617000330

zbMATH Keywords

nonlinear instrumental variable (NLIV)stochastic unit root (STUR)unit root (UR) model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)

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