On the interactions of unit roots and exogeneity
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Publication:4860427
DOI10.1080/07474939508800329zbMath0836.62108MaRDI QIDQ4860427
Publication date: 2 May 1996
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/1814/484
Monte Carlo study; limiting distributions; finite sample behaviour; weak exogeneity; exogeneity of conditioning variables; single equation estimation; cointegrated linear relationships; existence of unit roots; integrated-cointegrated data; single equation conditional linear relations
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62M09: Non-Markovian processes: estimation
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