Moment approximation for least‐squares estimators in dynamic regression models with a unit root
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Publication:5703222
DOI10.1111/j.1368-423X.2005.00156.xzbMath1073.62076MaRDI QIDQ5703222
Garry D. A. Phillips, Jan F. Kiviet
Publication date: 8 November 2005
Published in: The Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1368-423x.2005.00156.x
62F12: Asymptotic properties of parametric estimators
62H12: Estimation in multivariate analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62M09: Non-Markovian processes: estimation
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