Inference in Linear Time Series Models with some Unit Roots

DOI10.2307/2938337zbMath0724.62087OpenAlexW2078565364MaRDI QIDQ3212160

Mark W. Watson, James H. Stock, Christopher A. Sims

Publication date: 1990

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/0fe88fc95eccc742e9388e533e23e090087dfbbc

zbMATH Keywords

cointegration limiting distributions unit roots vector autoregression error correction models linear time series models Granger causality tests nonnormal asymptotic distributions normal asymptotic distributions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Point estimation (62F10)

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