MIXED NORMAL INFERENCE ON MULTICOINTEGRATION

DOI10.1017/S0266466610000095zbMath1274.62577OpenAlexW2144786966MaRDI QIDQ4933589

H. Peter Boswijk

Publication date: 14 October 2010

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

Full work available at URL: https://doi.org/10.1017/s0266466610000095

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Likelihood-based tests for parameter constancy in \(I(2)\) CVAR models with an application to fixed-term deposit data ⋮ Fully modified least squares cointegrating parameter estimation in multicointegrated systems ⋮ High-dimensional IV cointegration estimation and inference ⋮ An I(2) cointegration model with piecewise linear trends ⋮ Testing hypotheses in an \(I(2)\) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate ⋮ MODELLING TIME SERIES DATA OF MONETARY AGGREGATES USINGI(2) ANDI(1) COINTEGRATION ANALYSIS

Cites Work

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• ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS