Disequilibrium and uncertainty in cointegrated systems

DOI10.1016/0165-1765(95)00657-2MaRDI QIDQ672564zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

CointegrationConditional varianceError correction

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cites work

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

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