The role of ``leads in the dynamic OLS estimation of cointegrating regression models

DOI10.1016/J.MATCOM.2008.02.027zbMATH Open1154.62063OpenAlexW2017541233MaRDI QIDQ960352FDOQ960352

Kazuhiko Hayakawa, Eiji Kurozumi

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

zbMATH Keywords

cointegrationGranger causalitydynamic ordinary least squares estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Cites Work

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• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimating Long-Run Economic Equilibria
• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Title not available (Why is that?)
• Canonical Cointegrating Regressions
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• Title not available (Why is that?)

Cited In (3)

• (Consistently) testing strict exogeneity against the alternative of predeterminedness in linear time-series models
• Pitfalls in Estimating Cointegrating Vector when Cointegration Relationship has Nonlinear Adjustment
• A comparison of autoregressive distributed lag and dynamic OLS cointegration estimators in the case of a serially correlated cointegration error

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