Instrumental variables estimation of stationary and non‐stationary cointegrating regressions
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Publication:5488518
DOI10.1111/J.1368-423X.2006.00186.XzbMATH Open1096.62087OpenAlexW2143807762MaRDI QIDQ5488518FDOQ5488518
Authors: Margherita Gerolimetto, Peter M. Robinson 
Publication date: 22 September 2006
Published in: Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1368-423x.2006.00186.x
Recommendations
- INSTRUMENTAL VARIABLE INTERPRETATION OF COINTEGRATION WITH INFERENCE RESULTS FOR FRACTIONAL COINTEGRATION
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Stochastic cointegration: estimation and inference.
- Optimal estimation of cointegrated systems with irrelevant instruments
- Structural nonparametric cointegrating regression
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)
Cites Work
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments.
- Weak convergence of multivariate fractional processes
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Cointegration in Fractional Systems with Unknown Integration Orders
- Gaussian estimation of parametric spectral density with unknown pole
- Determination of cointegrating rank in fractional systems.
- Testing for Common Trends
- Root-\(n\)-consistent estimation of weak fractional cointegration
- ON ASYMPTOTIC INFERENCE IN COINTEGRATED TIME SERIES WITH FRACTIONALLY INTEGRATED ERRORS
- Understanding spurious regressions in econometrics
- The spurious regression of fractionally integrated processes
- Spurious regressions between I(1) processes with long memory errors
- INSTRUMENTAL VARIABLE INTERPRETATION OF COINTEGRATION WITH INFERENCE RESULTS FOR FRACTIONAL COINTEGRATION
Cited In (8)
- Cowles commission structural equation approach in light of nonstationary time series analysis
- Stochastic cointegration: estimation and inference.
- INSTRUMENTAL VARIABLE INTERPRETATION OF COINTEGRATION WITH INFERENCE RESULTS FOR FRACTIONAL COINTEGRATION
- Spurious instrumental variables
- Estimation of long-run parameters in unbalanced cointegration
- Contemporaneous and long run canonical correlations in the linear IV model: implications for instrument selection
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Semiparametric inference in multivariate fractionally cointegrated systems
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