Analysis of cointegration vectors using the GMM approach
From MaRDI portal
Publication:1298431
DOI10.1016/S0304-4076(97)00098-5zbMath1041.62532OpenAlexW2012567134MaRDI QIDQ1298431
Publication date: 1998
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(97)00098-5
Unit rootsCointegrationInstrumental variablesError correction modelsFully modified least squaresGeneralized method of moments (GMM)
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (3)
Estimation of error correction model with measurement errors ⋮ Generalized method of moments estimation for cointegrated vector autoregressive models ⋮ A REVIEW OF SYSTEMS COINTEGRATION TESTS
Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Understanding spurious regressions in econometrics
- Statistical analysis of cointegration vectors
- Asymptotics for linear processes
- Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments.
- Inference in Linear Time Series Models with some Unit Roots
- Estimation for Partially Nonstationary Multivariate Autoregressive Models
- Multiple Time Series Regression with Integrated Processes
- Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
- Testing for Common Trends
- Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Fully Modified Least Squares and Vector Autoregression
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
This page was built for publication: Analysis of cointegration vectors using the GMM approach
