Adaptive estimation of cointegrating regressions with ARMA errors

DOI10.1016/S0304-4076(97)00101-2zbMath0961.62075OpenAlexW2105371966WikidataQ128081599 ScholiaQ128081599MaRDI QIDQ1298415

Douglas J. Hodgson

Publication date: 5 June 2001

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(97)00101-2

zbMATH Keywords

efficiencycointegrationARMA processsemiparametricnonnormalitytriangular models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form ⋮ A NONPARAMETRIC REGRESSION ESTIMATOR THAT ADAPTS TO ERROR DISTRIBUTION OF UNKNOWN FORM ⋮ M‐Estimation for regressions with integrated regressors and arma errors ⋮ Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank ⋮ An adaptive estimation of MAVE ⋮ SEMI‐PARAMETRIC ESTIMATION OF LINEAR COINTEGRATING MODELS WITH NONLINEAR CONTEMPORANEOUS ENDOGENEITY ⋮ Adaptive estimation for varying coefficient models

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