Fully modified least squares estimation and inference for systems of cointegrating polynomial regressions

DOI10.1016/J.ECONLET.2023.111186MaRDI QIDQ6093718zbMATH OpenOpenAlexFDO

Authors Martin Wagner

Publication date 12 September 2023

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://www.ssoar.info/ssoar/handle/document/85110

zbMATH Keywords

cointegrating polynomial regressionfully modified estimationgeneralized least squareshypothesis testing

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A note on fully-modified estimation of seemingly unrelated regression models with integrated regressors.
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• Cointegrating polynomial regressions: fully modified OLS estimation and inference
• Efficient Estimation of the Seemingly Unrelated Regression Cointegration Model and Testing for Purchasing Power Parity
• Fully modified OLS estimation and inference for seemingly unrelated cointegrating polynomial regressions and the environmental Kuznets curve for carbon dioxide emissions
• scientific article; zbMATH DE number 1911817 (Why is no real title available?)
• Inference in Linear Time Series Models with some Unit Roots
• Integrated modified OLS estimation and fixed-\(b\) inference for cointegrating regressions
• Statistical Inference in Instrumental Variables Regression with I(1) Processes

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