Estimation and inference in time series with omitted I(1) variables

DOI10.2202/1941-1928.1054zbMATH Open1266.62063OpenAlexW2071870702MaRDI QIDQ4928526FDOQ4928526

Authors: Gerdie Everaert 

Publication date: 14 June 2013

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1941-1928.1054

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Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Sums of independent random variables; random walks (60G50)

Cited In (3)

• HETEROSKEDASTICITY AUTOCORRELATION ROBUST INFERENCE IN TIME SERIES REGRESSIONS WITH MISSING DATA
• Testing omitted variables in VARs
• Omitted variables and how the Chinese Yuan affects other Asian currencies

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