Low-pass filtered least squares estimators of cointegrating vectors

DOI10.1016/S0304-4076(97)00103-6zbMath0961.62083OpenAlexW2086860530MaRDI QIDQ1298417

Yikang Li

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)00103-6

zbMATH Keywords

bias reductionlow-pass filterOLSfully modified least squares

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05)

Cites Work

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• Optimal Inference in Cointegrated Systems
• Multiple Time Series Regression with Integrated Processes
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• Testing for Common Trends
• Canonical Cointegrating Regressions
• Time Series Regression with a Unit Root
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Band Spectrum Regression
• Invariance principles for dependent variables

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