Estimating long-run relationships in economics. A comparison of different approaches

DOI10.1016/0304-4076(93)90058-DzbMath0775.62331OpenAlexW1500340012MaRDI QIDQ1801410

Brett A. Inder

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

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

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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