Estimation and inference in nearly unbalanced nearly cointegrated systems

DOI10.1016/S0304-4076(97)00007-9zbMath0880.62120OpenAlexW1969499852MaRDI QIDQ1362055

Pierre Perron, Serena Ng

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

cointegrationunit rootnormalizationspectral densityleast-squares estimationleast-squares estimatesspectral density function at frequency zero

Mathematics Subject Classification ID

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

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The limit distribution of the estimates in cointegrated regression models with multiple structural changes ⋮ 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 ⋮ A Direct Test for Cointegration Between a Pair of Time Series ⋮ A systematic framework for analyzing the dynamic effects of permanent and transitory shocks. ⋮ Consistent inference for predictive regressions in persistent economic systems ⋮ Empirically relevant critical values for hypothesis tests: A bootstrap approach ⋮ Testing for parameter instability and structural change in persistent predictive regressions

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