Two-step optimal prediction under Phillips triangular cointegrated system

DOI10.1515/SNDE-2024-0107MaRDI QIDQ7321970zbMATH OpenFDO

Authors Yun-Yeong Kim

Publication date 31 August 2026

Published in Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/SNDE-2024-0107

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• Efficient Tests for an Autoregressive Unit Root
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Forecasting and testing in co-integrated systems
• Handbook of economic forecasting. Volume 1
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Optimal Inference in Cointegrated Systems

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