ESTIMATION AND INFERENCE ON LONG-RUN EQUILIBRIA: A SIMULATION STUDY

DOI10.1081/ETC-100104080MaRDI QIDQ4406236zbMATH OpenFDO

Authors Nunzio Cappuccio, Diego Lubian

Publication date 3 February 2004

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/ETC-100104080

zbMATH Keywords

\(P\)-value discrepancy plotscointegrationmaximal moment exponentrecursive variance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Recommendations

• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Fully Modified Least Squares and Vector Autoregression
• Estimating Long-Run Economic Equilibria
• Cointegrating polynomial regressions: fully modified OLS estimation and inference
• Comparing cointegrating regression estimators:

Cites work

• "Infinite Variance" and Research Strategy in Time Series Analysis
• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• A simple general approach to inference about the tail of a distribution
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimating Long-Run Economic Equilibria
• Estimating long-run relationships in economics. A comparison of different approaches
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Five alternative methods of estimating long-run equilibrium relationships
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• scientific article; zbMATH DE number 1301871 (Why is no real title available?)
• Multiple Time Series Regression with Integrated Processes
• Optimal Inference in Cointegrated Systems
• Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
• Statistical analysis of cointegration vectors
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Vector Autoregressions and Causality

Cited in

(8)

• Estimating Long-Run Economic Equilibria
• Long-run invariance in economic dynamics: a note
• Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors
• Estimator Choice and Fisher's Paradox: A Monte Carlo Study
• scientific article; zbMATH DE number 2052999 (Why is no real title available?)
• KERNEL AND BANDWIDTH SELECTION, PREWHITENING, AND THE PERFORMANCE OF THE FULLY MODIFIED LEAST SQUARES ESTIMATION METHOD
• Comparing cointegrating regression estimators:
• Effects of a signal-to-noise ratio on finite sample inference for cointegrating vectors

This page was built for publication: ESTIMATION AND INFERENCE ON LONG-RUN EQUILIBRIA: A SIMULATION STUDY

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4406236)