Fully modified estimation of cointegrating vectors via var prewhitening: A simulation study

DOI10.1007/BF02589581zbMath1446.62302MaRDI QIDQ3598348

Diego Lubian, Nunzio Cappuccio

Publication date: 3 February 2009

Published in: Journal of the Italian Statistical Society (Search for Journal in Brave)

zbMATH Keywords

Monte Carlocointegrationprewhiteningfully modified estimationconsistent covariance matrix estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

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• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Estimating Long-Run Economic Equilibria
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Statistical analysis of cointegration vectors
• Asymptotics for linear processes
• Estimating long-run relationships in economics. A comparison of different approaches
• Optimal Inference in Cointegrated Systems
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
• Fully Modified Least Squares and Vector Autoregression
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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