Efficient inference on cointegration parameters in structural error correction models
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Publication:1899244
DOI10.1016/0304-4076(94)01665-MzbMath0832.62098OpenAlexW2078539884MaRDI QIDQ1899244
Publication date: 5 March 1996
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(94)01665-m
Monte Carloasymptotic propertieserror correction modelsstructural formvector autoregressive modelsfinite sample behaviourexogeneity of conditioning variablesidentification of cointegration parameters
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (14)
Bootstrap inference in systems of single equation error correction models ⋮ Conditional and structural error correction models ⋮ Nonparametric cointegration analysis ⋮ Autoregressive distributed lag models and cointegration ⋮ Likelihood-Based Inference for Weak Exogeneity inI(2) Cointegrated VAR Models ⋮ On the interactions of unit roots and exogeneity ⋮ Two stage least squares estimation in structural cointegration models ⋮ Lagrance-multiplier tersts for weak exogeneity: a synthesis ⋮ Identification robust inference in cointegrating regressions ⋮ Weak exogeneity in \(I(2)\) VAR systems ⋮ Statistical inference on cointegration rank in error correction models with stationary covariates ⋮ Structural analysis of vector error correction models with exogenous \(I(1)\) variables ⋮ Structural relations, cointegration and identification: Some simple results and their application ⋮ A small sample correction for tests of hypotheses on the cointegrating vectors
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