Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process
DOI10.1016/J.JECONOM.2005.07.019zbMATH Open1418.62473OpenAlexW3123648821MaRDI QIDQ291863FDOQ291863
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
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Cites Work
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Statistical analysis of cointegration vectors
- Fully Modified Least Squares and Vector Autoregression
- Inference in possibly integrated vector autoregressive models: Some finite sample evidence
- Inference in Linear Time Series Models with some Unit Roots
- Vector Autoregressions and Causality
- Cointegration and Dynamic Simultaneous Equations Model
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Statistical Properties of the Two-Stage Least Squares Estimator Under Cointegration
- IDENTIFICATION AND DICHOTOMIZATION OF LONG- AND SHORT-RUN RELATIONS OF COINTEGRATED VECTOR AUTOREGRESSIVE MODELS
- Asymptotic properties of multivariate nonstationary processes with applications to autoregressions
Cited In (7)
- Lag‐augmented two‐ and three‐stage least squares estimators for integrated structural dynamic models
- Title not available (Why is that?)
- Title not available (Why is that?)
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- Generalized method of moments estimation for cointegrated vector autoregressive models
- Two stage least squares estimation in structural cointegration models
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