Estimating long-run relationships in economics. A comparison of different approaches

DOI10.1016/0304-4076(93)90058-DzbMATH Open0775.62331OpenAlexW1500340012MaRDI QIDQ1801410FDOQ1801410

Authors: Brett A. Inder 

Publication date: 20 July 1993

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

Full work available at URL: https://doi.org/10.1016/0304-4076(93)90058-d

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Cites Work

• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Multiple Time Series Regression with Integrated Processes
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• Estimating Long-Run Economic Equilibria

Cited In (11)

• Estimator Choice and Fisher's Paradox: A Monte Carlo Study
• International mobility of capital in the United States: robust evidence from time-series tests
• ESTIMATION AND INFERENCE ON LONG-RUN EQUILIBRIA: A SIMULATION STUDY
• Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley)
• Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors
• Low-pass filtered least squares estimators of cointegrating vectors
• Comparing cointegrating regression estimators:
• Multiple sparse-grid Gauss-Hermite filtering
• Two stage least squares estimation in structural cointegration models
• EU emissions trading scheme, competitiveness and carbon leakage: new evidence from cement and steel industries
• Fully modified estimation of cointegrating vectors via var prewhitening: A simulation study

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