Fully Modified Least Squares and Vector Autoregression (Q4859502)

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scientific article; zbMATH DE number 829939
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Fully Modified Least Squares and Vector Autoregression
scientific article; zbMATH DE number 829939

    Statements

    Fully Modified Least Squares and Vector Autoregression (English)
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    5 January 1998
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    fully modified least squares regression
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    causality testing
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    cointegration
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    fully modified regression
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    fully modified vector autoregression
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    hyperconsistency
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    long-run covariance matrix
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    one-sided long-run covariance matrix
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    some unit roots
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    limit theory
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    Wald tests
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    time series regressions
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