Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process

DOI10.1016/J.JECONOM.2005.07.019MaRDI QIDQ291863zbMATH OpenOpenAlexFDO

Authors Cheng Hsiao, Siyan Wang

Publication date 10 June 2016

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2005.07.019

zbMATH Keywords

asymptotic propertieshypothesis testingcointegrationunit rootstructural vector autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

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Cites work

• Asymptotic properties of multivariate nonstationary processes with applications to autoregressions
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Cointegration and Dynamic Simultaneous Equations Model
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Fully Modified Least Squares and Vector Autoregression
• IDENTIFICATION AND DICHOTOMIZATION OF LONG- AND SHORT-RUN RELATIONS OF COINTEGRATED VECTOR AUTOREGRESSIVE MODELS
• Inference in Linear Time Series Models with some Unit Roots
• Inference in possibly integrated vector autoregressive models: Some finite sample evidence
• Statistical Properties of the Two-Stage Least Squares Estimator Under Cointegration
• Statistical analysis of cointegration vectors
• Vector Autoregressions and Causality

Cited in

(7)

• Lag‐augmented two‐ and three‐stage least squares estimators for integrated structural dynamic models
• Two stage least squares estimation in structural cointegration models
• scientific article; zbMATH DE number 1327262 (Why is no real title available?)
• scientific article; zbMATH DE number 1194029 (Why is no real title available?)
• Generalized method of moments estimation for cointegrated vector autoregressive models
• scientific article; zbMATH DE number 7708090 (Why is no real title available?)
• scientific article; zbMATH DE number 7708021 (Why is no real title available?)

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