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

DOI10.1016/J.MATCOM.2008.02.027MaRDI QIDQ960352zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 811061 (Why is no real title available?)
• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Canonical Cointegrating Regressions
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimating Long-Run Economic Equilibria
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

Cited in

(4)

• Pitfalls in estimating cointegrating vector when cointegration relationship has nonlinear adjust\-ment
• 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
• A comparison of autoregressive distributed lag and dynamic OLS cointegration estimators in the case of a serially correlated cointegration error

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