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

DOI10.1111/J.1368-423X.2007.00199.XzbMath1116.62094OpenAlexW3122018241MaRDI QIDQ3594913

Siyan Wang, Cheng Hsiao

Publication date: 9 August 2007

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

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2007.00199.x

zbMATH Keywords

tablescointegrationautoregressionnonstationary time seriesstructural vector

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Cites Work

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• Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process
• Statistical analysis of cointegration vectors
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• 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
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Small-Sample Estimation of a Structural Equation with Autocorrelated Errors
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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