IDENTIFICATION AND DICHOTOMIZATION OF LONG- AND SHORT-RUN RELATIONS OF COINTEGRATED VECTOR AUTOREGRESSIVE MODELS

DOI10.1017/S026646660117502XzbMath1016.62099OpenAlexW2030301008MaRDI QIDQ4807269

Cheng Hsiao

Publication date: 18 May 2003

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s026646660117502x

zbMATH Keywords

error correction representationdynamic simultaneous equations model

Mathematics Subject Classification ID

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

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Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process ⋮ Lag‐augmented two‐ and three‐stage least squares estimators for integrated structural dynamic models

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