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

DOI10.1007/BF02589581zbMATH Open1446.62302MaRDI QIDQ3598348FDOQ3598348

Authors: Nunzio Cappuccio, Diego Lubian 

Publication date: 3 February 2009

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

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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)

Cites Work

• Title not available (Why is that?)
• Asymptotics for linear processes
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Statistical analysis of cointegration vectors
• Estimating Long-Run Economic Equilibria
• Optimal Inference in Cointegrated Systems
• Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
• Fully Modified Least Squares and Vector Autoregression
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Estimating long-run relationships in economics. A comparison of different approaches

Cited In (1)

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

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