Two Mixed Normal Densities from Cointegration Analysis

DOI10.2307/2171758MaRDI QIDQ4340693zbMATH OpenOpenAlexFDO

Authors Karim M. Abadir, Paolo Paruolo

Publication date 1997

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2171758

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cited in

(11)

• Moment ratio estimation of autoregressive/unit root parameters and autocorrelation-consistent standard errors
• Understanding price discovery in interconnected markets: generalized Langevin process approach and simulation
• CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA
• An introduction to hypergeometric functions for economists
• Revealing unnoticed properties of super exogeneity in a cointegrated vector autoregression
• GARCH density and functional forecasts
• Bayesian Dynamic Tensor Regression
• Online Statistical Inference for Stochastic Optimization via Kiefer-Wolfowitz Methods
• Fast inference for quantile regression with tens of millions of observations
• Small-sample improvements in the statistical analysis of seasonally cointegrated systems
• Effects of a signal-to-noise ratio on finite sample inference for cointegrating vectors

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