Comparing cointegrating regression estimators:
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Recommendations
- A comparison of autoregressive distributed lag and dynamic OLS cointegration estimators in the case of a serially correlated cointegration error
- Integrated modified OLS estimation and fixed-\(b\) inference for cointegrating regressions
- ESTIMATION AND INFERENCE ON LONG-RUN EQUILIBRIA: A SIMULATION STUDY
- A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
Cites work
- A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
- Canonical Cointegrating Regressions
- Estimating Long-Run Economic Equilibria
- Estimating long-run relationships in economics. A comparison of different approaches
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
Cited in
(6)- DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION
- ESTIMATION AND INFERENCE ON LONG-RUN EQUILIBRIA: A SIMULATION STUDY
- Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors
- Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series
- A comparison of autoregressive distributed lag and dynamic OLS cointegration estimators in the case of a serially correlated cointegration error
- Has trade become more responsive to income? Assessing the evidence for US imports
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