Statistical Inference in Instrumental Variables Regression with I(1) Processes

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Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends
Some analysis of the long-run time series properties of consumption and income in the U.K
The information content of 3-month sterling futures
Adaptive estimation of cointegrating regressions with ARMA errors
Low-pass filtered least squares estimators of cointegrating vectors
System estimators of cointegrating matrix in absence of normalising information
Analysis of cointegration vectors using the GMM approach
Inference in possibly integrated vector autoregressive models: Some finite sample evidence
Pitfalls in testing for long run relationships
Tests for cointegration with infinite variance errors
Representations of \(I(2)\) cointegrated systems using the Smith-McMillan form
Test for partial parameter instability in regressions with \(I(1)\) processes
Structural relations, cointegration and identification: Some simple results and their application
The spurious effect of unit roots on vector autoregressions. An analytical study
LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
Polynomial cointegration. Estimation and test
Diagnostic test for structural change in cointegrated regression models
An automated approach towards sparse single-equation cointegration modelling
Estimation and inference in nearly unbalanced nearly cointegrated systems
Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments.
Analysis of cointegrated VARMA processes
Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley)
Impulse response and forecast error variance asymptotics in nonstationary VARs
Stability tests in error correction models
Normal estimators for cointegrating relationships
Price discovery, causality and forecasting in the freight futures market
Modelling the demand for money in New Zealand.
Nonlinear instrumental variable estimation of an autoregression.
cointReg
The power of bootstrap based tests for parameters in cointegrating regressions
Structural analysis of vector error correction models with exogenous \(I(1)\) variables
Cointegration analysis with state space models
Nonparametric testing for smooth structural changes in panel data models
The Fisher effect in the presence of time-varying coefficients
Estimation and test for quantile nonlinear cointegrating regression
International mobility of capital in the United States: robust evidence from time-series tests
EU emissions trading scheme, competitiveness and carbon leakage: new evidence from cement and steel industries
Consistent estimation of linear regression models using matched~data
The unbiasedness hypothesis in the freight forward market: Evidence from cointegration tests
Estimating long-run relationships in economics. A comparison of different approaches
Fundamentals, regime shifts, and dollar behavior in the 1980s
A CUSUM test for cointegration using regression residuals
Instrumental variables estimation of a nearly nonstationary, heterogeneous error component model.
Stochastic cointegration: estimation and inference.
Index models with integrated time series
The role of theory in econometrics
Efficient inference on cointegration parameters in structural error correction models
Residual-based tests for cointegration in models with regime shifts
Unit root econometrics and economic nonlinearities
Tests for cointegration. A Monte Carlo comparison
Testing for structural breaks in cointegrated relationships
Reducing the size distortions of the panel LM test for cointegration
A residual based test for the null hypothesis of cointegration.
A note on fully-modified estimation of seemingly unrelated regression models with integrated regressors.
Two stage least squares estimation in structural cointegration models
Are German money market rates well behaved?
Estimating the employment band of inaction with multiple breaks due to labor market reforms
Understanding temporal aggregation effects on kurtosis in financial indices
On LASSO for predictive regression
Global temperatures and greenhouse gases: a common features approach
Foreign direct investments, renewable electricity output, and ecological footprints: do financial globalization facilitate renewable energy transition and environmental welfare in Bangladesh?
Kernel-based inference in time-varying coefficient cointegrating regression
Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data
Nonstationary panel models with latent group structures and cross-section dependence
Econometric estimates of Earth's transient climate sensitivity
Fully modified OLS estimation and inference for seemingly unrelated cointegrating polynomial regressions and the environmental Kuznets curve for carbon dioxide emissions
Modeling and testing smooth structural changes with endogenous regressors
Nonparametric predictive regression
Regression-based analysis of cointegration systems
Analysis of US real GNP and unemployment interactions. State space approach
Exchange rate regimes and business cycles: an empirical investigation
Low-frequency robust cointegration testing
Predictive regression under various degrees of persistence and robust long-horizon regression
Challenges of trending time series econometrics
Optimal estimation of cointegrated systems with irrelevant instruments
Identification robust inference in cointegrating regressions
Integrated modified OLS estimation and fixed-\(b\) inference for cointegrating regressions
Interpreting cointegrating vectors and common stochastic trends
Testing for the cointegration rank when some cointegrating directions are changing
A nonparametric test for changing trends
Unit root quantile autoregression testing using covariates
Using information about technologies, markets and firm behaviour to decompose a proper productivity index
Cointegration in fractional systems with deterministic trends
Fully modified least squares cointegrating parameter estimation in multicointegrated systems
The impact of the real interest rate, the exchange rate and political stability on foreign direct investment inflows: a comparative analysis of G7 and GCC countries
Testing cointegration in quantile regressions with an application to the term structure of interest rates
Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market
Hysteresis and sources of aggregate employment inertia
Nonstationary nonlinear heteroskedasticity in regression
Robust econometric inference with mixed integrated and mildly explosive regressors
Unit roots: a selective review of the contributions of Peter C. B. Phillips
Nonlinearity, nonstationarity, and spurious forecasts
Cointegrating polynomial regressions: fully modified OLS estimation and inference
Weak convergence to stochastic integrals for econometric applications
Fully modified narrow-band least squares estimation of weak fractional cointegration
Cointegration and sampling frequency
Panel cointegration with global stochastic trends
Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors
Quantile cointegrating regression

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