Stochastic cointegration: estimation and inference.

DOI10.1016/S0304-4076(02)00111-2zbMath1099.62531OpenAlexW1976171280MaRDI QIDQ1867746

Yanyan Li

Publication date: 2 April 2003

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(02)00111-2

zbMATH Keywords

Instrumental variablesHeteroscedastic integration and cointegrationStochastic cointegration

Mathematics Subject Classification ID

Related Items (8)

Unnamed Item ⋮ ESTIMATION AND INFERENCE FOR VARYING-COEFFICIENT MODELS WITH NONSTATIONARY REGRESSORS USING PENALIZED SPLINES ⋮ Functional-coefficient cointegration models ⋮ SOME LIMIT THEORY FOR AUTOCOVARIANCES WHOSE ORDER DEPENDS ON SAMPLE SIZE ⋮ The influence of heteroskedastic variances on cointegration tests: a comparison using Monte Carlo simulations ⋮ TIME-VARYING COINTEGRATION ⋮ Assessing Persistence In Discrete Nonstationary Time‐Series Models ⋮ Time-varying cointegration and the Kalman filter

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Heteroskedastic cointegration
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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