Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors
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Publication:899509
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Cites work
- scientific article; zbMATH DE number 4102349 (Why is no real title available?)
- A Cross-Validatory Choice of Smoothing Parameter in Adaptive Location Estimation
- A new kernel for long-run variance estimates in seasonal time series models
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- Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors
- DETERMINING THE BANDWIDTH OF A KERNEL SPECTRUM ESTIMATE
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Estimation of partially nonstationary vector autoregressive models with seasonal behavior
- Fully Modified Least Squares and Vector Autoregression
- Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments.
- Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors
- Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Least Squares Regression When the Independent Variable Follows an ARIMA Process
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Matrix Analysis
- Maximum likelihood inference on cointegration and seasonal cointegration
- Monte Carlo evidence on adaptive maximum likelihood estimation of a regression
- On Periodic Structures and Testing for Seasonal Unit Roots
- Seasonal cointegration. The Japanese consumption function (with discussion)
- Seasonal integration and cointegration
- Semiparametric tests for seasonal unit roots based on a semiparametric feasible GLSE
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Testing for Unit Roots in Seasonal Time Series
- Time Series Regression with a Unit Root
Cited in
(5)- Fully modified estimation with cross-equation restrictions.
- Asymptotic efficiency of the ordinary least-squares estimator for SUR models with integrated regressors
- Fully modified estimation of seasonally cointegrated processes
- Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors
- Semiparametric tests for seasonal unit roots based on a semiparametric feasible GLSE
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