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

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INSTRUMENTAL VARIABLE INTERPRETATION OF COINTEGRATION WITH INFERENCE RESULTS FOR FRACTIONAL COINTEGRATION
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Stochastic cointegration: estimation and inference.
Making wald tests work for cointegrated VAR systems

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Cointegration analysis with state space models
A residual-based test of the null of cointegration in panel data
Using Difference-Based Methods for Inference in Regression with Fractionally Integrated Processes
Test for cointegration based on two-stage least squares
Integrated modified OLS estimation and fixed-\(b\) inference for cointegrating regressions
The Fisher effect in the presence of time-varying coefficients
Fully modified OLS estimation and inference for seemingly unrelated cointegrating polynomial regressions and the environmental Kuznets curve for carbon dioxide emissions
Tests for cointegration. A Monte Carlo comparison
Are German money market rates well behaved?
Estimator Choice and Fisher's Paradox: A Monte Carlo Study
FIXED-b ASYMPTOTICS IN SINGLE-EQUATION COINTEGRATION MODELS WITH ENDOGENOUS REGRESSORS
A comparison of Johansen and Phillips-Hansen cointegration tests of forward market efficiency
New small sample estimators for cointegration regression: low-pass spectral filter method
Tests for Long-Run Granger Non-Causality in Cointegrated Systems
A note on hypothesis testing based on the fully modified vector autoregression
A control function approach for testing the usefulness of trending variables in forecast models and linear regression
Residual based tests for cointegration in dependent panels
ADMISSIBLE AND NONADMISSIBLE TESTS IN UNIT-ROOT-LIKE SITUATIONS
A state space canonical form for unit root processes
Robust estimation and inference for threshold models with integrated regressors
Adaptive estimation of cointegrating regressions with ARMA errors
NONLINEAR ERROR CORRECTION: THE CASE OF MONEY DEMAND IN THE UNITED KINGDOM (1878–2000)
Asymptotic efficiency of the ordinary least-squares estimator for SUR models with integrated regressors
Interpreting cointegrating vectors and common stochastic trends
Analytical evaluation of the power of tests for the absence of cointegration
Analysis of cointegrated VARMA processes
Spurious regression
Cointegration and sampling frequency
Analysis of cointegration vectors using the GMM approach
Low-pass filtered least squares estimators of cointegrating vectors
System estimators of cointegrating matrix in absence of normalising information
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
Exchange rate regimes and business cycles: an empirical investigation
Price discovery, causality and forecasting in the freight futures market
Modelling the demand for money in New Zealand.
ECONOMETRIC THEORY, by James Davidson, Blackwell Publishers, 2000
On bootstrap inference in cointegrating regressions
Instrumental variables estimation of stationary and non‐stationary cointegrating regressions
A note on fully-modified estimation of seemingly unrelated regression models with integrated regressors.
Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors
Dynamic panel Anderson-Hsiao estimation with roots near unity
Regression-based analysis of cointegration systems
The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
The role of ``leads in the dynamic OLS estimation of cointegrating regression models
Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data
Nonparametric predictive regression
Normal estimators for cointegrating relationships
The information content of 3-month sterling futures
Functional-coefficient cointegration models in the presence of deterministic trends
Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico
Most stringent test of null of cointegration: a Monte Carlo comparison
Local limit theory and spurious nonparametric regression
Quantile cointegrating regression
The power of bootstrap based tests for parameters in cointegrating regressions
DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION
Pitfalls in testing for long run relationships
Structural relations, cointegration and identification: Some simple results and their application
Identification robust inference in cointegrating regressions
Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments.
Estimation and inference in nearly unbalanced nearly cointegrated systems
Polynomial cointegration. Estimation and test
Fully modified narrow-band least squares estimation of weak fractional cointegration
Estimating smooth structural change in cointegration models
Nonlinearity, nonstationarity, and spurious forecasts
Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends
A Parametric approach to the Estimation of Cointegration Vectors in Panel Data
Challenges of trending time series econometrics
Nonstationary nonlinear heteroskedasticity in regression
Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison
Spurious instrumental variables
Robust econometric inference with mixed integrated and mildly explosive regressors
Tests for cointegration with infinite variance errors
LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
Asymptotics for panel models with common shocks
Diagnostic test for structural change in cointegrated regression models
An automated approach towards sparse single-equation cointegration modelling
Some analysis of the long-run time series properties of consumption and income in the U.K
Comparing cointegrating regression estimators:
Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley)
Uniform consistency of nonstationary kernel-weighted sample covariances for nonparametric regression
REPRESENTATION AND WEAK CONVERGENCE OF STOCHASTIC INTEGRALS WITH FRACTIONAL INTEGRATOR PROCESSES
Testing for the Null Hypothesis of Cointegration with a Structural Break
The failure of orthogonality under nonstationarity: should we care about it?
Dynamic modeling of mean-reverting spreads for statistical arbitrage
A residual based test for the null hypothesis of cointegration.
Two stage least squares estimation in structural cointegration models
Impulse response and forecast error variance asymptotics in nonstationary VARs
Stability tests in error correction models
Unit root quantile autoregression testing using covariates
A CUSUM test for cointegration using regression residuals
Quantile cointegration in the autoregressive distributed-lag modeling framework
ESTIMATION AND INFERENCE ON LONG-RUN EQUILIBRIA: A SIMULATION STUDY
How useful is yet another data-driven bandwidth in long-run variance estimation? A simulation study on cointegrating regressions
The long-run determinants of fertility: one century of demographic change 1900--1999
THE ASYMPTOTIC EFFICIENCY OF COINTEGRATION ESTIMATORS UNDER TEMPORAL AGGREGATION
Estimating long-run relationships in economics. A comparison of different approaches
Nonlinear instrumental variable estimation of an autoregression.
Testing for structural change in cointegrated regression models: some comparisons and generalizations

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