Heteroskedastic cointegration
DOI10.1016/0304-4076(92)90103-XzbMath0755.62085OpenAlexW4234184362MaRDI QIDQ1203087
Publication date: 4 February 1993
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(92)90103-x
consistencyleast squares estimatesnormal approximationscointegrated regressionsheteroskedastic cointegrationnonstationary variancesrobust covariance matrix estimate
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Asymptotic properties of parametric tests (62F05)
Related Items (12)
Cites Work
- A functional central limit theorem for weakly dependent sequences of random variables
- Statistical analysis of cointegration vectors
- A maximal inequality and dependent strong laws
- On consistency in time series analysis
- Strong consistency of least squares estimates in dynamic models
- Nonlinear Regression with Dependent Observations
- Multiple Time Series Regression with Integrated Processes
- Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION
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