Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process

DOI10.1016/J.JECONOM.2005.07.019zbMath1418.62473OpenAlexW3123648821MaRDI QIDQ291863

Siyan Wang, Cheng Hsiao

Publication date: 10 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.07.019

zbMATH Keywords

asymptotic propertieshypothesis testingcointegrationunit rootstructural vector autoregression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (1)

Lag‐augmented two‐ and three‐stage least squares estimators for integrated structural dynamic models

Cites Work

• Asymptotic properties of multivariate nonstationary processes with applications to autoregressions
• Statistical analysis of cointegration vectors
• Inference in possibly integrated vector autoregressive models: Some finite sample evidence
• Inference in Linear Time Series Models with some Unit Roots
• Vector Autoregressions and Causality
• Cointegration and Dynamic Simultaneous Equations Model
• Statistical Properties of the Two-Stage Least Squares Estimator Under Cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• IDENTIFICATION AND DICHOTOMIZATION OF LONG- AND SHORT-RUN RELATIONS OF COINTEGRATED VECTOR AUTOREGRESSIVE MODELS
• Fully Modified Least Squares and Vector Autoregression
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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