Statistical Inference in Instrumental Variables Regression with I(1) Processes
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Publication:156114
DOI10.2307/2297545zbMath0703.62098OpenAlexW2025161033MaRDI QIDQ156114
Peter C. B. Phillips, Bruce E. Hansen, Bruce E. Hansen, Peter C. B. Phillips
Publication date: January 1990
Published in: The Review of Economic Studies (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2297545
endogeneitytime seriessimulation resultsserial correlationleast squares regressioncointegrated systemsstochastic trendsasymptotic chi-square criteriadeterministic and stochastic regressorserror-correction methodologyfully-modified Wald testsinstrumental variable (IV) estimates of multivariate cointegration regressionsnuisance parameter dependenciessampling behavioursemiparametric corrections
Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)
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