Statistical Properties of the Two-Stage Least Squares Estimator Under Cointegration

DOI10.2307/2971719zbMath0889.90038OpenAlexW1967928918MaRDI QIDQ4368686

Cheng Hsiao

Publication date: 4 December 1997

Published in: The Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2971719

zbMATH Keywords

hypothesis testingtwo-stage least squares estimatordynamic simultaneous model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

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