Fully modified least squares cointegrating parameter estimation in multicointegrated systems

DOI10.1016/j.jeconom.2021.07.002OpenAlexW3190112165MaRDI QIDQ2682951

Peter C. B. Phillips, Igor L. Kheifets

Publication date: 1 February 2023

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

Full work available at URL: https://arxiv.org/abs/2108.03486

zbMATH Keywords

cointegrationmulticointegrationfiscal sustainabilityfully modified regressiondegenerate Wald testsingular long run variance matrix

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (2)

COINTEGRATION AND REPRESENTATION OF COINTEGRATED AUTOREGRESSIVE PROCESSES IN BANACH SPACES ⋮ High-dimensional IV cointegration estimation and inference

Cites Work

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