Two stage least squares estimation in structural cointegration models

DOI10.1007/BF02934634zbMath0938.62061MaRDI QIDQ1962770

Gunar Schröer

Publication date: 13 June 2000

Published in: Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

cointegrationsimultaneous equation modelstwo stage least squaresfully modified estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Uses Software

• GAUSS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Estimating Long-Run Economic Equilibria
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Statistical analysis of cointegration vectors
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
• A note on weak exogeneity in VAR cointegrated models
• Five alternative methods of estimating long-run equilibrium relationships
• Identification of the long-run and the short-run structure. An application to the ISLM model
• Estimating long-run relationships in economics. A comparison of different approaches
• Efficient inference on cointegration parameters in structural error correction models
• Forecasting aggregated vector ARMA processes
• Multiple Time Series Regression with Integrated Processes
• Comparisons of tests for multivariate cointegration
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Dynamic Econometrics

This page was built for publication: Two stage least squares estimation in structural cointegration models