Generalized method of moments estimation for cointegrated vector autoregressive models

DOI10.1016/J.CSDA.2011.03.010MaRDI QIDQ1658311zbMATH OpenOpenAlexFDO

Authors Suk K. Park, Sung K. Ahn, Sinsup Cho

Publication date 14 August 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2011.03.010

zbMATH Keywords

cointegrationGMM estimationVAR model

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Analysis of cointegration vectors using the GMM approach
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Common nonstationary components of asset prices
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Estimation of partially nonstationary vector autoregressive models with seasonal behavior
• Five alternative methods of estimating long-run equilibrium relationships
• Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments.
• Inference of Vector Autoregressive Models With Cointegration and Scalar Components
• Large Sample Properties of Generalized Method of Moments Estimators
• Statistical analysis of cointegration vectors
• Testing for Common Trends
• The cointegrated VAR model: Methodology and applications.
• VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING

Cited in

(3)

• The generalized moment estimation of the additive-multiplicative hazard model with auxiliary survival information
• Stochastic modeling of currency exchange rates with novel validation techniques
• Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity

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