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

DOI10.1016/0165-1765(94)00557-IzbMATH Open1121.91404OpenAlexW2015882868MaRDI QIDQ674067FDOQ674067

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

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

zbMATH Keywords

simulationFilteringSmall sampleCointegrationFully modified least squares

Mathematics Subject Classification ID

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

Cites Work

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

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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