The role of ``leads in the dynamic OLS estimation of cointegrating regression models
DOI10.1016/J.MATCOM.2008.02.027zbMATH Open1154.62063OpenAlexW2017541233MaRDI QIDQ960352FDOQ960352
Authors: 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
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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
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- Canonical Cointegrating Regressions
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
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Cited In (4)
- DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION
- (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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