Adaptive estimation of cointegrating regressions with ARMA errors
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Cites work
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- Estimating Long-Run Economic Equilibria
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Cited in
(11)- Adaptive estimation in time series regression models
- On adaptive estimation in nonstationary ARMA models with GARCH errors
- Adaptive estimation for varying coefficient models
- A nonparametric regression estimator that adapts to error distribution of unknown form
- Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form
- Adaptive R-estimation in a linear regression model with ARMA errors
- M‐Estimation for regressions with integrated regressors and arma errors
- Semi-parametric estimation of linear cointegrating models with nonlinear contemporaneous endogeneity
- An adaptive estimation of MAVE
- Semiparametrically optimal cointegration test
- Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank
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