Lag‐augmented two‐ and three‐stage least squares estimators for integrated structural dynamic models

DOI10.1111/J.1368-423X.2007.00199.XMaRDI QIDQ3594913zbMATH OpenOpenAlexFDO

Authors Cheng Hsiao, Siyan Wang

Publication date 9 August 2007

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1368-423x.2007.00199.x

zbMATH Keywords

autoregressioncointegrationnonstationary time seriesstructural vectortables

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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Cites work

• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Cointegration and Dynamic Simultaneous Equations Model
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments.
• Fully Modified Least Squares and Vector Autoregression
• scientific article; zbMATH DE number 3720240 (Why is no real title available?)
• scientific article; zbMATH DE number 3062534 (Why is no real title available?)
• scientific article; zbMATH DE number 3087325 (Why is no real title available?)
• IDENTIFICATION AND DICHOTOMIZATION OF LONG- AND SHORT-RUN RELATIONS OF COINTEGRATED VECTOR AUTOREGRESSIVE MODELS
• Inference in Linear Time Series Models with some Unit Roots
• Inference in possibly integrated vector autoregressive models: Some finite sample evidence
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process
• Multiple Time Series Regression with Integrated Processes
• Optimal Inference in Cointegrated Systems
• Small-Sample Estimation of a Structural Equation with Autocorrelated Errors
• Statistical analysis of cointegration vectors
• Statistical inference in vector autoregressions with possibly integrated processes
• Statistical Properties of the Two-Stage Least Squares Estimator Under Cointegration
• Vector Autoregressions and Causality

Cited in

(2)

• Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process
• Statistical Properties of the Two-Stage Least Squares Estimator Under Cointegration

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