ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS
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Publication:4512511
DOI10.1017/S0266466600164035zbMath1009.62079OpenAlexW2133973558MaRDI QIDQ4512511
Publication date: 5 May 2003
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466600164035
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
Related Items (17)
Impact factors ⋮ Statistical analysis of hypotheses on the cointegrating relations in the \(I(2)\) model ⋮ Common trends and cycles in I(2) VAR systems ⋮ Likelihood-Based Inference for Weak Exogeneity inI(2) Cointegrated VAR Models ⋮ Likelihood-based tests for parameter constancy in \(I(2)\) CVAR models with an application to fixed-term deposit data ⋮ A ``maximum-eigenvalue test for the cointegration ranks in \(I(2)\) vector autoregressions ⋮ Fully modified least squares cointegrating parameter estimation in multicointegrated systems ⋮ High-dimensional IV cointegration estimation and inference ⋮ A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES ⋮ An I(2) cointegration model with piecewise linear trends ⋮ MIXED NORMAL INFERENCE ON MULTICOINTEGRATION ⋮ Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes ⋮ Testing hypotheses in an \(I(2)\) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate ⋮ Representations of \(I(2)\) cointegrated systems using the Smith-McMillan form ⋮ Trend stationarity in the \(I(2)\) cointegration model. ⋮ MODELLING TIME SERIES DATA OF MONETARY AGGREGATES USINGI(2) ANDI(1) COINTEGRATION ANALYSIS ⋮ A small sample correction for tests of hypotheses on the cointegrating vectors
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