Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors

DOI10.2307/1911260zbMath0651.62105OpenAlexW1986932170MaRDI QIDQ3796605

Publication date: 1987

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/5f84f361cb4f2f68538dfb9ecd97c46710f0be47

zbMATH Keywords

tables limiting distributions asymptotic representations error correction models convergence in probability cointegrating vector linear combinations order of integration Least squares estimators cointegrated processes nonnormal random matrices vectorial time series

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05) Economic time series analysis (91B84)

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