Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends

DOI10.1016/0304-4076(92)90081-2zbMath0746.62105OpenAlexW2037331515MaRDI QIDQ1194026

Bruce E. Hansen

Publication date: 27 September 1992

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

Full work available at URL: https://doi.org/10.1016/0304-4076(92)90081-2

zbMATH Keywords

time serieschi-square testleast squares estimationdeterministic trendscointegrated modelsestimation detrending methodsregressor trendsvalidity of trend exclusion

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

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