Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors
From MaRDI portal
Publication:899509
DOI10.1016/J.JECONOM.2003.07.001zbMATH Open1328.62219OpenAlexW2015882739MaRDI QIDQ899509FDOQ899509
Authors: Dong Wan Shin, Man-Suk Oh 
Publication date: 29 December 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2003.07.001
Recommendations
- Fully modified estimation of seasonally cointegrated processes
- Semiparametric tests for seasonal unit roots based on a semiparametric feasible GLSE
- Fully Modified Least Squares and Vector Autoregression
- Integrated modified OLS estimation and fixed-\(b\) inference for cointegrating regressions
- A simple GLS procedure for seasonal cointegration
Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
- Seasonal integration and cointegration
- Matrix Analysis
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Title not available (Why is that?)
- Testing for Unit Roots in Seasonal Time Series
- Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments.
- Time Series Regression with a Unit Root
- Fully Modified Least Squares and Vector Autoregression
- Seasonal cointegration. The Japanese consumption function (with discussion)
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- DETERMINING THE BANDWIDTH OF A KERNEL SPECTRUM ESTIMATE
- Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments
- On Periodic Structures and Testing for Seasonal Unit Roots
- Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors
- Estimation of partially nonstationary vector autoregressive models with seasonal behavior
- A Cross-Validatory Choice of Smoothing Parameter in Adaptive Location Estimation
- Least Squares Regression When the Independent Variable Follows an ARIMA Process
- Monte Carlo evidence on adaptive maximum likelihood estimation of a regression
- Maximum likelihood inference on cointegration and seasonal cointegration
- ASYMPTOTIC EFFICIENCY OF THE ORDINARY LEAST SQUARES ESTIMATOR FOR REGRESSIONS WITH UNSTABLE REGRESSORS
- Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors
- Semiparametric tests for seasonal unit roots based on a semiparametric feasible GLSE
- A new kernel for long-run variance estimates in seasonal time series models
Cited In (5)
- Asymptotic efficiency of the ordinary least-squares estimator for SUR models with integrated regressors
- Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors
- Semiparametric tests for seasonal unit roots based on a semiparametric feasible GLSE
- Fully modified estimation with cross-equation restrictions.
- Fully modified estimation of seasonally cointegrated processes
This page was built for publication: Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q899509)
