Cointegrating polynomial regressions: fully modified OLS estimation and inference

DOI10.1017/S0266466615000213zbMATH Open1395.62282OpenAlexW2214569073MaRDI QIDQ2976210FDOQ2976210

Authors: Martin Wagner, Seung-Hyun Hong 

Publication date: 28 April 2017

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466615000213

Recommendations

• Fully Modified Least Squares and Vector Autoregression
• Polynomial cointegration. Estimation and test
• Integrated modified OLS estimation and fixed-\(b\) inference for cointegrating regressions
• Fully modified estimation of seasonally cointegrated processes
• Cointegration and sampling frequency

zbMATH Keywords

polynomial regressionsGaussian mixture limiting distribution

Mathematics Subject Classification ID

General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

• An improved Bonferroni procedure for multiple tests of significance
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• A stagewise rejective multiple test procedure based on a modified Bonferroni test
• Fully Modified Least Squares and Vector Autoregression
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Automatic Lag Selection in Covariance Matrix Estimation
• A CUSUM test for cointegration using regression residuals
• Tests for nonlinear cointegration
• Nonlinear Regressions with Integrated Time Series
• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
• Economic Growth and the Environment
• Title not available (Why is that?)
• Multiple test procedures for arbitrary dependence structures
• Testing linearity in cointegrating relations with an application to purchasing power parity
• The Phillips unit root tests for polynomials of integrated processes
• The Bierens test for certain nonstationary models

Cited In (16)

• Stochastic cointegration: estimation and inference.
• The Phillips unit root tests for polynomials of integrated processes revisited
• Fully modified OLS estimation and inference for seemingly unrelated cointegrating polynomial regressions and the environmental Kuznets curve for carbon dioxide emissions
• INSTRUMENTAL VARIABLE INTERPRETATION OF COINTEGRATION WITH INFERENCE RESULTS FOR FRACTIONAL COINTEGRATION
• ESTIMATION AND INFERENCE ON LONG-RUN EQUILIBRIA: A SIMULATION STUDY
• The Phillips unit root tests for polynomials of integrated processes
• Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors
• Panel cointegrating polynomial regressions: group-mean fully modified OLS estimation and inference
• Integrated modified OLS estimation and fixed-\(b\) inference for cointegrating regressions
• Cointegration, variance shifts and the limiting distribution of the OLS estimator
• Fully modified least squares estimation and inference for systems of cointegrating polynomial regressions
• Fully Modified Least Squares and Vector Autoregression
• Cointegration and sampling frequency
• Fully modified estimation with cross-equation restrictions.
• Fully modified estimation of cointegrating vectors via var prewhitening: A simulation study
• Fully modified estimation of seasonally cointegrated processes

This page was built for publication: Cointegrating polynomial regressions: fully modified OLS estimation and inference

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2976210)