Estimation and Inference in Time Series with Omitted I(1) Variables

DOI10.2202/1941-1928.1054zbMath1266.62063OpenAlexW2071870702MaRDI QIDQ4928526

Gerdie Everaert

Publication date: 14 June 2013

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1941-1928.1054

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09) Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50)

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