Normal estimators for cointegrating relationships

DOI10.1016/S0165-1765(97)00063-3MaRDI QIDQ1391055zbMATH OpenFDO

Authors Guy Laroque, Bernard Salanié

Publication date 22 July 1998

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0165-1765(97)00063-3

zbMATH Keywords

cointegrationsimulation-based inferencetime series

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

• System estimators of cointegrating matrix in absence of normalising information
• Estimating cointegrating relations from a cross section
• Nonlinear estimation using estimated cointegrating relations

Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Canonical Cointegrating Regressions
• Fully Modified Least Squares and Vector Autoregression
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• scientific article; zbMATH DE number 4060392 (Why is no real title available?)
• Statistical Inference in Instrumental Variables Regression with I(1) Processes

Cited in

(2)

• System estimators of cointegrating matrix in absence of normalising information
• ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES

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