Stochastic cointegration: estimation and inference.

DOI10.1016/S0304-4076(02)00111-2MaRDI QIDQ1867746zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 2 April 2003

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4076(02)00111-2

zbMATH Keywords

Instrumental variablesHeteroscedastic integration and cointegrationStochastic cointegration

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Heteroskedastic cointegration
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

Cited in

(15)

• Estimation and inference for varying-coefficient models with nonstationary regressors using penalized splines
• Time-varying cointegration
• The influence of heteroskedastic variances on cointegration tests: a comparison using Monte Carlo simulations
• Some limit theory for autocovariances whose order depends on sample size
• Functional-coefficient cointegration models
• INSTRUMENTAL VARIABLE INTERPRETATION OF COINTEGRATION WITH INFERENCE RESULTS FOR FRACTIONAL COINTEGRATION
• Stochastic specification and the international GDP series
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• A general inversion theorem for cointegration
• Instrumental variables estimation of stationary and non‐stationary cointegrating regressions
• Estimating cointegrating relations from a cross section
• Time-varying cointegration and the Kalman filter
• Assessing Persistence In Discrete Nonstationary Time‐Series Models
• Sir Clive Granger's contributions to nonlinear time series and econometrics
• A residual-based test for stochastic cointegration

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