Estimation of error correction model with measurement errors

DOI10.1080/00949655.2020.1743991OpenAlexW3014619306MaRDI QIDQ5036886

Sinsup Cho, Sung K. Ahn, Hanwoom Hong

Publication date: 23 February 2022

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2020.1743991

zbMATH Keywords

cointegrationinstrumental variablesmixed modelsreduced-rank estimationvector autoregressive model

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Statistical analysis of cointegration vectors
• Testing for unit roots in autoregressive moving average models. An instrumental variable approach
• Analysis of cointegration vectors using the GMM approach
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Multiple Time Series Regression with Integrated Processes
• Testing for a unit root in the presence of moving average errors
• VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
• Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model
• ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR
• Analysis of cointegrated models with measurement errors
• Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
• The Co-Integrated Vector Autoregression with Errors–in–Variables

This page was built for publication: Estimation of error correction model with measurement errors