Estimation of cointegrated models with exogenous variables

DOI10.1080/00949655.2014.910515MaRDI QIDQ5220839zbMATH OpenOpenAlexFDO

Authors Sung K. Ahn, Hanwoom Hong, Sinsup Cho

Publication date 27 March 2020

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

Full work available at URL https://doi.org/10.1080/00949655.2014.910515

zbMATH Keywords

error correction modelreduced rank estimationvector autoregressive model

Mathematics Subject Classification ID

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

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Cites work

• Cointegration in partial systems and the efficiency of single-equation analysis
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Exogeneity
• Granger causality, exogeneity, cointegration, and economic policy analysis
• Granger-causality in cointegrated VAR processes. The case of the term structure
• Noncausality in VAR-ECM models with purely exogeneous long-run paths
• Statistical analysis of cointegration vectors
• Structural analysis of vector error correction models with exogenous \(I(1)\) variables

Cited in

(10)

• Which vintage of data to use when there are multiple vintages of data?: Cointegration, weak exogeneity and common factors
• Cointegration analysis with state space models
• scientific article; zbMATH DE number 6612015 (Why is no real title available?)
• Cointegration and Dynamic Simultaneous Equations Model
• COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
• On the interactions of unit roots and exogeneity
• Revealing unnoticed properties of super exogeneity in a cointegrated vector autoregression
• Analysis of cointegrated models with measurement errors
• Battese-Coelli estimator with endogenous regressors
• The role of ``leads in the dynamic OLS estimation of cointegrating regression models

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