Estimation and inference in nearly unbalanced nearly cointegrated systems

DOI10.1016/S0304-4076(97)00007-9zbMATH Open0880.62120OpenAlexW1969499852MaRDI QIDQ1362055FDOQ1362055

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

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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)

Cites Work

• Title not available (Why is that?)
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Optimal Inference in Cointegrated Systems
• Asymptotic Properties of Residual Based Tests for Cointegration
• Testing for a unit root in time series regression
• Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
• Local asymptotic distribution related to the AR(1) model with dependent errors
• Testing for unit roots in autoregressive-moving average models of unknown order
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
• Canonical Cointegrating Regressions
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors

Cited In (9)

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

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