Cointegration analysis under measurement errors

DOI10.1108/S0731-9053(2009)0000024009MaRDI QIDQ3573015zbMATHOpenAlexFDO

Authors Vladimir Kuzin, Uwe Hassler

Publication date 30 June 2010

Published in Advances in Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1108/s0731-9053(2009)0000024009

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

• Analysis of cointegrated models with measurement errors
• Multicointegration under measurement errors
• The co-integrated vector autoregression with errors-in-variables
• scientific article; zbMATH DE number 1031883
• Statistical analysis of cointegration vectors

Cited in

(6)

• DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS
• Analysis of cointegrated models with measurement errors
• The co-integrated vector autoregression with errors-in-variables
• Measurement error in multiple equations: Tobin's \(q\) and corporate investment, saving, and debt
• Multicointegration under measurement errors
• Cross-Sectionally Correlated Measurement Errors in Two-Pass Regression Tests of Asset-Pricing Models

This page was built for publication: Cointegration analysis under measurement errors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3573015)