Pitfalls in Estimating Cointegrating Vector when Cointegration Relationship has Nonlinear Adjustment

DOI10.1080/03610918.2011.563005zbMath1227.62069MaRDI QIDQ3102865

Daiki Maki

Publication date: 25 November 2011

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2011.563005

zbMATH Keywords

ADL; cointegration; OLS; nonlinear adjustment; DOLS

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F10: Point estimation

65C05: Monte Carlo methods

Cites Work

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