Conditional and structural error correction models

DOI10.1016/0304-4076(94)01666-NzbMath0825.62960OpenAlexW2027917903MaRDI QIDQ1899245

Neil R. Ericsson

Publication date: 7 December 1995

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

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01666-n

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (1)

SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES

Cites Work

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• Estimating Long-Run Economic Equilibria
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• Statistical analysis of cointegration vectors
• Cointegration in partial systems and the efficiency of single-equation analysis
• Efficient inference on cointegration parameters in structural error correction models
• Exogeneity
• Optimal Inference in Cointegrated Systems
• Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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