High-dimensional IV cointegration estimation and inference

DOI10.1016/J.JECONOM.2023.105622MaRDI QIDQ6193065zbMATH OpenOpenAlexFDO

Authors Peter C. B. Phillips, Igor L. Kheifets

Publication date 13 February 2024

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2023.105622

zbMATH Keywords

cointegrationHAR inferencehigh-dimensional IVlong run variance matrixmulticointegrationsingularitytrend IV estimation

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cited in

(2)

• Estimation and inference in a possibly multicointegrated system with a fixed number of instruments
• Limit theory and inference in non-cointegrated functional coefficient regression

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