Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors
From MaRDI portal
Publication:302107
DOI10.1016/j.jeconom.2008.11.003zbMath1429.62400MaRDI QIDQ302107
Kazuhiko Hayakawa, Eiji Kurozumi
Publication date: 4 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://ir.lib.hiroshima-u.ac.jp/files/public/2/26403/20141016154147821406/JEconometrics_149_118.pdf
cointegration; canonical cointegrating regressions; dynamic ordinary least squares regressions; fully modified regressions; second-order bias
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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