Multicointegration under measurement errors

DOI10.1016/J.ECONLET.2006.12.007zbMath1255.91355OpenAlexW2038620258MaRDI QIDQ1934093

Uwe Hassler

Publication date: 28 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2006.12.007

zbMATH Keywords

errors-in-variablesexperimental evidenceloss of multicointegration

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (1)

A multicointegration model of global climate change

Cites Work

• Understanding spurious regressions in econometrics
• Spurious regressions in econometrics
• Testing for multicointegration
• On the determination of integration indices in I(2) systems
• Multiple Time Series Regression with Integrated Processes

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