New small sample estimators for cointegration regression: low-pass spectral filter method

DOI10.1016/0165-1765(94)00557-IMaRDI QIDQ674067zbMATH OpenOpenAlexFDO

Authors Yikang Li, G. S. Maddala, Mark Rush

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(94)00557-i

zbMATH Keywords

simulationFilteringSmall sampleCointegrationFully modified least squares

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Recommendations

• Low-pass filtered least squares estimators of cointegrating vectors
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• TEMPORAL AGGREGATION AND THE FINITE SAMPLE PERFORMANCE OF SPECTRAL REGRESSION ESTIMATORS IN COINTEGRATED SYSTEMS A Simulation Study

Cites work

• Bootstrapping cointegrating regression
• Bootstrapping time series models
• Canonical Cointegrating Regressions
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Optimal Inference in Cointegrated Systems
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Statistical analysis of cointegration vectors
• Time Series Regression with a Unit Root

Cited in

(3)

• TEMPORAL AGGREGATION AND THE FINITE SAMPLE PERFORMANCE OF SPECTRAL REGRESSION ESTIMATORS IN COINTEGRATED SYSTEMS A Simulation Study
• Low-pass filtered least squares estimators of cointegrating vectors
• Unit-root detection allowing for measurement error

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