Estimating Intertemporal Quadratic Adjustment Cost Models with Integrated Series

DOI10.2307/2527043MaRDI QIDQ3354874zbMATH OpenOpenAlexFDO

Authors Juan J. Dolado, John W. Galbraith, Anindya Banerjee

Publication date 1991

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10016/3320

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic growth models (91B62)

Cited in

(4)

• A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables
• Multi-equational linear quadratic adjustment cost models with rational expectations and cointe\-gration
• Testing for structural breaks in cointegrated relationships
• The exact discrete model of a third-order system of linear stochastic differential equations with observable stochastic trends

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