Low-pass filtered least squares estimators of cointegrating vectors

DOI10.1016/S0304-4076(97)00103-6zbMath0961.62083MaRDI QIDQ1298417

Yikang Li

Publication date: 5 June 2001

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

zbMATH Keywords

bias reduction; low-pass filter; OLS; fully modified least squares

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M20: Inference from stochastic processes and prediction

65C05: Monte Carlo methods

Cites Work

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