Efficient Estimation of the Seemingly Unrelated Regression Cointegration Model and Testing for Purchasing Power Parity

DOI10.1081/ETC-200040777zbMath1062.62253OpenAlexW2014974066MaRDI QIDQ4678786

Benoit Perron, Hyungsik Roger Moon

Publication date: 23 May 2005

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/etc-200040777

zbMATH Keywords

tablesefficient estimationpurchasing power parityminimum distanceseemingly unrelated regressions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (10)

Seemingly Unrelated Ridge Regression in Semiparametric Models ⋮ Cross-Sectional Dependence in Panel Data Analysis ⋮ A simple sieve bootstrap range test for poolability in dependent cointegrated panels ⋮ Fully modified least squares estimation and inference for systems of cointegrating polynomial regressions ⋮ Preliminary test estimation in system regression models in view of asymmetry ⋮ On the impact of error cross-sectional dependence in short dynamic panel estimation ⋮ Cointegration and sampling frequency ⋮ Fully modified OLS estimation and inference for seemingly unrelated cointegrating polynomial regressions and the environmental Kuznets curve for carbon dioxide emissions ⋮ Feasible Ridge Estimator in Seemingly Unrelated Semiparametric Models ⋮ Shrinkage estimation in system regression model

Cites Work

• Statistical Inference in Instrumental Variables Regression with I(1) Processes
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• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Understanding spurious regressions in econometrics
• Asymptotics for linear processes
• A note on fully-modified estimation of seemingly unrelated regression models with integrated regressors.
• Likelihood‐based cointegration tests in heterogeneous panels
• Optimal Inference in Cointegrated Systems
• Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors
• Canonical Cointegrating Regressions
• MINIMUM DISTANCE ESTIMATION OF NONSTATIONARY TIME SERIES MODELS
• Fully Modified Least Squares and Vector Autoregression
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