Efficient inference on cointegration parameters in structural error correction models

DOI10.1016/0304-4076(94)01665-MzbMath0832.62098OpenAlexW2078539884MaRDI QIDQ1899244

H. Peter Boswijk

Publication date: 5 March 1996

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01665-m

zbMATH Keywords

Monte Carloasymptotic propertieserror correction modelsstructural formvector autoregressive modelsfinite sample behaviourexogeneity of conditioning variablesidentification of cointegration parameters

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (14)

Bootstrap inference in systems of single equation error correction models ⋮ Conditional and structural error correction models ⋮ Nonparametric cointegration analysis ⋮ Autoregressive distributed lag models and cointegration ⋮ Likelihood-Based Inference for Weak Exogeneity inI(2) Cointegrated VAR Models ⋮ On the interactions of unit roots and exogeneity ⋮ Two stage least squares estimation in structural cointegration models ⋮ Lagrance-multiplier tersts for weak exogeneity: a synthesis ⋮ Identification robust inference in cointegrating regressions ⋮ Weak exogeneity in \(I(2)\) VAR systems ⋮ Statistical inference on cointegration rank in error correction models with stationary covariates ⋮ Structural analysis of vector error correction models with exogenous \(I(1)\) variables ⋮ Structural relations, cointegration and identification: Some simple results and their application ⋮ A small sample correction for tests of hypotheses on the cointegrating vectors

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