Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments.

DOI10.1016/S0304-4076(97)00004-3zbMath1043.62530MaRDI QIDQ1367140

Yuichi Kitamura, Peter C. B. Phillips

Publication date: 1997

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

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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