A comparison of autoregressive distributed lag and dynamic OLS cointegration estimators in the case of a serially correlated cointegration error
From MaRDI portal
Publication:3023041
DOI10.1111/j.1368-423X.2004.00145.xzbMath1071.62080MaRDI QIDQ3023041
Ekaterini Panopoulou, Nikitas Pittis
Publication date: 4 July 2005
Published in: The Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1368-423x.2004.00145.x
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F10: Point estimation
65C05: Monte Carlo methods
Related Items
Model selection criteria for the leads-and-lags cointegrating regression, The Fisher effect in the presence of time-varying coefficients, Pitfalls in Estimating Cointegrating Vector when Cointegration Relationship has Nonlinear Adjustment
Cites Work