Estimation and inference in nearly unbalanced nearly cointegrated systems

DOI10.1016/S0304-4076(97)00007-9MaRDI QIDQ1362055zbMATH OpenOpenAlexFDO

Authors Serena Ng, Pierre Perron

Publication date 3 August 1997

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

Full work available at URL https://doi.org/10.1016/s0304-4076(97)00007-9

zbMATH Keywords

spectral densitycointegrationleast-squares estimationnormalizationunit rootleast-squares estimatesspectral density function at frequency zero

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 236854 (Why is no real title available?)
• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• Asymptotic Properties of Residual Based Tests for Cointegration
• Canonical Cointegrating Regressions
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Local asymptotic distribution related to the AR(1) model with dependent errors
• Optimal Inference in Cointegrated Systems
• Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Testing for a unit root in time series regression
• Testing for unit roots in autoregressive-moving average models of unknown order
• The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties

Cited in

(9)

• Empirically relevant critical values for hypothesis tests: A bootstrap approach
• Consistent inference for predictive regressions in persistent economic systems
• PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
• A Direct Test for Cointegration Between a Pair of Time Series
• Testing for parameter instability and structural change in persistent predictive regressions
• Disequilibrium and uncertainty in cointegrated systems
• Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
• A systematic framework for analyzing the dynamic effects of permanent and transitory shocks.
• The limit distribution of the estimates in cointegrated regression models with multiple structural changes

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