FIXED-b ASYMPTOTICS IN SINGLE-EQUATION COINTEGRATION MODELS WITH ENDOGENOUS REGRESSORS
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Publication:3408518
DOI10.1017/S0266466606060348zbMath1108.62333OpenAlexW2139028828MaRDI QIDQ3408518
Publication date: 14 November 2006
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466606060348
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (4)
SIMPLE, ROBUST, AND ACCURATEFANDtTESTS IN COINTEGRATED SYSTEMS ⋮ Integrated modified OLS estimation and fixed-\(b\) inference for cointegrating regressions ⋮ Fixed Bandwidth Inference for Fractional Cointegration ⋮ Small‐b and Fixed‐b Asymptotics for Weighted Covariance Estimation in Fractional Cointegration
Cites Work
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Estimating Long-Run Economic Equilibria
- A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
- Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models
- Simple Robust Testing of Hypotheses in Nonlinear Models
- Trend Function Hypothesis Testing in the Presence of Serial Correlation
- Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
- Simple Robust Testing of Regression Hypotheses
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