Instrumental variables estimation of stationary and non‐stationary cointegrating regressions

DOI10.1111/J.1368-423X.2006.00186.XMaRDI QIDQ5488518zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

tablescointegrationinstrumental variables estimationI(d) processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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

Cites work

• Cointegration in Fractional Systems with Unknown Integration Orders
• Determination of cointegrating rank in fractional systems.
• Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments.
• Gaussian estimation of parametric spectral density with unknown pole
• INSTRUMENTAL VARIABLE INTERPRETATION OF COINTEGRATION WITH INFERENCE RESULTS FOR FRACTIONAL COINTEGRATION
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• ON ASYMPTOTIC INFERENCE IN COINTEGRATED TIME SERIES WITH FRACTIONALLY INTEGRATED ERRORS
• Root-\(n\)-consistent estimation of weak fractional cointegration
• Spurious regressions between I(1) processes with long memory errors
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Testing for Common Trends
• The spurious regression of fractionally integrated processes
• Understanding spurious regressions in econometrics
• Weak convergence of multivariate fractional processes

Cited in

(9)

• Optimal estimation of cointegrated systems with irrelevant instruments
• Contemporaneous and long run canonical correlations in the linear IV model: implications for instrument selection
• Spurious instrumental variables
• INSTRUMENTAL VARIABLE INTERPRETATION OF COINTEGRATION WITH INFERENCE RESULTS FOR FRACTIONAL COINTEGRATION
• Stochastic cointegration: estimation and inference.
• Estimation of long-run parameters in unbalanced cointegration
• Cowles commission structural equation approach in light of nonstationary time series analysis
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Semiparametric inference in multivariate fractionally cointegrated systems

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