Model selection criteria for the leads-and-lags cointegrating regression
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Publication:527997
DOI10.1016/J.JECONOM.2012.01.021zbMATH Open1443.62248OpenAlexW2043991238MaRDI QIDQ527997FDOQ527997
Authors: Yong-Cai Geng, Sumit K. Garg 
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://gcoe.ier.hit-u.ac.jp/research/discussion/2008/pdf/gd08-006.pdf
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
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Cited In (4)
- DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION
- The role of ``leads in the dynamic OLS estimation of cointegrating regression models
- Bootstrap Inference in Cointegrating Regressions: Traditional and Self-Normalized Test Statistics
- Integrated modified OLS estimation and fixed-\(b\) inference for cointegrating regressions
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