Analysis of cointegrated models with measurement errors

DOI10.1080/00949655.2015.1032289MaRDI QIDQ5222362zbMATH OpenOpenAlexFDO

Authors Hanwoom Hong, Sung K. Ahn, Sinsup Cho

Publication date 1 April 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2015.1032289

zbMATH Keywords

measurement errorvector autoregressive modelreduced-rank estimationerror correction model

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• scientific article; zbMATH DE number 52749 (Why is no real title available?)
• scientific article; zbMATH DE number 6811485 (Why is no real title available?)
• Cointegration analysis under measurement errors
• Econometric Issues in the Analysis of Regressions with Generated Regressors
• Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Measurement errors and outliers in seasonal unit root testing
• Multiple Time Series Regression with Integrated Processes
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Statistical analysis of cointegration vectors
• VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING

Cited in

(9)

• Cointegration analysis under measurement errors
• Testing the Cointegrating Rank with Uncorrelated but Dependent Errors
• Cross-Sectionally Correlated Measurement Errors in Two-Pass Regression Tests of Asset-Pricing Models
• Estimation of error correction model with measurement errors
• scientific article; zbMATH DE number 5260370 (Why is no real title available?)
• The co-integrated vector autoregression with errors-in-variables
• Multicointegration under measurement errors
• Measurement error in multiple equations: Tobin's q and corporate investment, saving, and debt
• Reduced forms and incomplete models in the cointegration analysis. The case of the NAIRU

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