Multicointegration under measurement errors

DOI10.1016/J.ECONLET.2006.12.007MaRDI QIDQ1934093zbMATH OpenOpenAlexFDO

Authors Uwe Hassler

Publication date 28 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2006.12.007

zbMATH Keywords

errors-in-variablesexperimental evidenceloss of multicointegration

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

• Cointegration analysis under measurement errors
• Analysis of cointegrated models with measurement errors
• The co-integrated vector autoregression with errors-in-variables
• Testing for multicointegration
• Estimation in multivariate errors-in-variables models

Cites work

• Multiple Time Series Regression with Integrated Processes
• On the determination of integration indices in I(2) systems
• Spurious regressions in econometrics
• Testing for multicointegration
• Understanding spurious regressions in econometrics

Cited in

(5)

• A multicointegration model of global climate change
• Cointegration analysis under measurement errors
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• The co-integrated vector autoregression with errors-in-variables
• The impact of integrated measurement errors on modeling long-run macroeconomic time series

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