Estimating long-run relationships in economics. A comparison of different approaches
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Publication:1801410
DOI10.1016/0304-4076(93)90058-DzbMath0775.62331OpenAlexW1500340012MaRDI QIDQ1801410
Publication date: 20 July 1993
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(93)90058-d
Related Items (11)
Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors ⋮ Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley) ⋮ International mobility of capital in the United States: robust evidence from time-series tests ⋮ EU emissions trading scheme, competitiveness and carbon leakage: new evidence from cement and steel industries ⋮ Two stage least squares estimation in structural cointegration models ⋮ Comparing cointegrating regression estimators: ⋮ ESTIMATION AND INFERENCE ON LONG-RUN EQUILIBRIA: A SIMULATION STUDY ⋮ Fully modified estimation of cointegrating vectors via var prewhitening: A simulation study ⋮ Multiple sparse-grid Gauss-Hermite filtering ⋮ Estimator Choice and Fisher's Paradox: A Monte Carlo Study ⋮ Low-pass filtered least squares estimators of cointegrating vectors
Cites Work
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Estimating Long-Run Economic Equilibria
- Multiple Time Series Regression with Integrated Processes
- Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
- Co-Integration and Error Correction: Representation, Estimation, and Testing
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