COINTEGRATING POLYNOMIAL REGRESSIONS: FULLY MODIFIED OLS ESTIMATION AND INFERENCE

DOI10.1017/S0266466615000213zbMath1395.62282OpenAlexW2214569073MaRDI QIDQ2976210

Seung-Hyun Hong, Martin Wagner

Publication date: 28 April 2017

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466615000213

zbMATH Keywords

polynomial regressionsGaussian mixture limiting distribution

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02)

Related Items

Fully modified least squares estimation and inference for systems of cointegrating polynomial regressions, Panel cointegrating polynomial regressions: group-mean fully modified OLS estimation and inference, The Phillips unit root tests for polynomials of integrated processes, The Phillips unit root tests for polynomials of integrated processes revisited, Fully modified OLS estimation and inference for seemingly unrelated cointegrating polynomial regressions and the environmental Kuznets curve for carbon dioxide emissions

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