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

DOI10.2202/1941-1928.1054MaRDI QIDQ4928526zbMATH OpenOpenAlexFDO

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

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)

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