Disequilibrium and uncertainty in cointegrated systems

DOI10.1016/0165-1765(95)00657-2zbMATH Open0900.90182OpenAlexW1986652766MaRDI QIDQ672564FDOQ672564

Authors: Tae-Hwy Lee 

Publication date: 28 February 1997

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(95)00657-2

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zbMATH Keywords

CointegrationConditional varianceError correction

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cites Work

• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Maximum Likelihood Estimation of Misspecified Models
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Testing for a unit root in time series regression

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