Fully modified estimation of cointegrating vectors via var prewhitening: A simulation study

DOI10.1007/BF02589581MaRDI QIDQ3598348zbMATHFDO

Authors Nunzio Cappuccio, Diego Lubian

Publication date 3 February 2009

Published in Journal of the Italian Statistical Society (Search for Journal in Brave)

zbMATH Keywords

Monte Carlocointegrationprewhiteningfully modified estimationconsistent covariance matrix estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12)

Recommendations

• KERNEL AND BANDWIDTH SELECTION, PREWHITENING, AND THE PERFORMANCE OF THE FULLY MODIFIED LEAST SQUARES ESTIMATION METHOD
• Fully Modified Least Squares and Vector Autoregression
• Integrated modified OLS estimation and fixed-\(b\) inference for cointegrating regressions
• Cointegrating polynomial regressions: fully modified OLS estimation and inference
• Low-pass filtered least squares estimators of cointegrating vectors

Cites work

• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Asymptotics for linear processes
• Estimating Long-Run Economic Equilibria
• Estimating long-run relationships in economics. A comparison of different approaches
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Fully Modified Least Squares and Vector Autoregression
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Optimal Inference in Cointegrated Systems
• Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Statistical analysis of cointegration vectors

Cited in

(1)

• KERNEL AND BANDWIDTH SELECTION, PREWHITENING, AND THE PERFORMANCE OF THE FULLY MODIFIED LEAST SQUARES ESTIMATION METHOD

This page was built for publication: Fully modified estimation of cointegrating vectors via var prewhitening: A simulation study

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3598348)