A comparison of autoregressive distributed lag and dynamic OLS cointegration estimators in the case of a serially correlated cointegration error
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Publication:3023041
DOI10.1111/j.1368-423X.2004.00145.xzbMath1071.62080OpenAlexW2025346458MaRDI QIDQ3023041
Ekaterini Panopoulou, Nikitas Pittis
Publication date: 4 July 2005
Published in: The Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1368-423x.2004.00145.x
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Monte Carlo methods (65C05)
Related Items (3)
The Fisher effect in the presence of time-varying coefficients ⋮ Model selection criteria for the leads-and-lags cointegrating regression ⋮ Pitfalls in Estimating Cointegrating Vector when Cointegration Relationship has Nonlinear Adjustment
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