The role of ``leads in the dynamic OLS estimation of cointegrating regression models
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Publication:960352
DOI10.1016/j.matcom.2008.02.027zbMath1154.62063MaRDI QIDQ960352
Eiji Kurozumi, Kazuhiko Hayakawa
Publication date: 17 December 2008
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: http://ir.lib.hiroshima-u.ac.jp/files/public/2/26402/20141016154147162126/MCS_79_555.pdf
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
65C05: Monte Carlo methods
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Cites Work
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Estimating Long-Run Economic Equilibria
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