Instrumental variables estimation of stationary and non‐stationary cointegrating regressions

DOI10.1111/j.1368-423X.2006.00186.xzbMath1096.62087MaRDI QIDQ5488518

Margherita Gerolimetto, Peter M. Robinson

Publication date: 22 September 2006

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2006.00186.x

zbMATH Keywords

tables; cointegration; instrumental variables estimation; I(d) processes

Mathematics Subject Classification ID

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

65C05: Monte Carlo methods

Related Items

Semiparametric inference in multivariate fractionally cointegrated systems, Estimation of long-run parameters in unbalanced cointegration

Cites Work

• Statistical Inference in Instrumental Variables Regression with I(1) Processes
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• ON ASYMPTOTIC INFERENCE IN COINTEGRATED TIME SERIES WITH FRACTIONALLY INTEGRATED ERRORS
• INSTRUMENTAL VARIABLE INTERPRETATION OF COINTEGRATION WITH INFERENCE RESULTS FOR FRACTIONAL COINTEGRATION
• Cointegration in Fractional Systems with Unknown Integration Orders