Estimation in dynamic regression with an integrated process

DOI10.1016/0378-3758(95)00041-0MaRDI QIDQ1918130zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 9 March 1998

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0378-3758(95)00041-0

zbMATH Keywords

cointegrationdynamic regressionsuper-consistencyintegrated process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Time integrated least squares estimators of regression parameters of a process with independent increments
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• scientific article; zbMATH DE number 3940529

Cites work

• scientific article; zbMATH DE number 3163319 (Why is no real title available?)
• Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Econometric Estimators and the Edgeworth Approximation
• Multiple Time Series Regression with Integrated Processes
• Tests for Serial Correlation in Regression Models with Lagged Dependent Variables and Serially Correlated Errors
• Time Series Regression with a Unit Root
• Understanding spurious regressions in econometrics

Cited in

(5)

• Time integrated least squares estimators of regression parameters of a process with independent increments
• The monitoring test for the stability of regression models with nonstationary regressors
• scientific article; zbMATH DE number 1327262 (Why is no real title available?)
• The CUSUM of squares test for the stability of regression models with non-stationary regressors
• Regression with integrated regressors

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