Fully Modified Least Squares and Vector Autoregression
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Publication:4859502
DOI10.2307/2171721zbMath0878.62104OpenAlexW2174053180MaRDI QIDQ4859502
Publication date: 5 January 1998
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d10/d1047.pdf
cointegrationWald testslimit theoryfully modified vector autoregressiontime series regressionsfully modified regressioncausality testingfully modified least squares regressionhyperconsistencylong-run covariance matrixone-sided long-run covariance matrixsome unit roots
Multivariate distribution of statistics (62H10) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)
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