Estimation in dynamic regression with an integrated process

DOI10.1016/0378-3758(95)00041-0zbMath0883.62102OpenAlexW2058571735MaRDI QIDQ1918130

Yanyan Li

Publication date: 9 March 1998

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(95)00041-0

zbMATH Keywords

cointegrationintegrated processdynamic regressionsuper-consistency

Mathematics Subject Classification ID

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

Related Items (2)

The CUSUM of squares test for the stability of regression models with non-stationary regressors ⋮ The monitoring test for the stability of regression models with nonstationary regressors

Cites Work

• Unnamed Item
• Understanding spurious regressions in econometrics
• Multiple Time Series Regression with Integrated Processes
• Tests for Serial Correlation in Regression Models with Lagged Dependent Variables and Serially Correlated Errors
• Econometric Estimators and the Edgeworth Approximation
• Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Time Series Regression with a Unit Root

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