FIXED-b ASYMPTOTICS IN SINGLE-EQUATION COINTEGRATION MODELS WITH ENDOGENOUS REGRESSORS

DOI10.1017/S0266466606060348MaRDI QIDQ3408518zbMATH OpenOpenAlexFDO

Authors Helle Bunzel

Publication date 14 November 2006

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466606060348

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Error-correction Mechanism Tests for Cointegration in a Single-equation Framework
• THE POWER OF SINGLE EQUATION TESTS FOR COINTEGRATION WHEN THE COINTEGRATING VECTOR IS PRESPECIFIED
• Fixed bandwidth inference for fractional cointegration
• Heteroskedastic cointegration
• Statistical Inference in Instrumental Variables Regression with I(1) Processes

Cites work

• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models
• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
• Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
• Estimating Long-Run Economic Equilibria
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Simple Robust Testing of Hypotheses in Nonlinear Models
• Simple Robust Testing of Regression Hypotheses
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Trend Function Hypothesis Testing in the Presence of Serial Correlation

Cited in

(6)

• Battese-Coelli estimator with endogenous regressors
• Simple, robust, and accurate \(F\) and \(t\) tests in cointegrated systems
• Integrated modified OLS estimation and fixed-\(b\) inference for cointegrating regressions
• Fixed bandwidth inference for fractional cointegration
• Small-\(b\) and fixed-\(b\) asymptotics for weighted covariance estimation in fractional cointegration
• Some fixed-\(b\) results for regressions with high frequency data over long spans

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