Generalized method of moments estimation for cointegrated vector autoregressive models

DOI10.1016/J.CSDA.2011.03.010zbMath1464.62140OpenAlexW1973110020MaRDI QIDQ1658311

Suk K. Park, Sinsup Cho, Sung K. Ahn

Publication date: 14 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2011.03.010

zbMATH Keywords

cointegrationGMM estimationVAR model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

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• Common nonstationary components of asset prices
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• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• Testing for Common Trends
• Inference of Vector Autoregressive Models With Cointegration and Scalar Components
• VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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