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

DOI10.1017/S0266466602184076zbMATH Open1181.62127OpenAlexW2108066311MaRDI QIDQ4808396FDOQ4808396

Authors: Christina Christou, Nikitas Pittis 

Publication date: 22 May 2003

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

Full work available at URL: https://doi.org/10.1017/s0266466602184076

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Mathematics Subject Classification ID

Point estimation (62F10) Nonparametric estimation (62G05) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Cited In (3)

• Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors
• The Fisher effect in the presence of time-varying coefficients
• Fully modified estimation of cointegrating vectors via var prewhitening: A simulation study

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