Estimation of cointegrated models with exogenous variables

DOI10.1080/00949655.2014.910515zbMath1457.62253OpenAlexW2106474868MaRDI QIDQ5220839

Sung K. Ahn, Sinsup Cho, Hanwoom Hong

Publication date: 27 March 2020

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

Full work available at URL: https://doi.org/10.1080/00949655.2014.910515

zbMATH Keywords

error correction modelvector autoregressive modelreduced rank estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Statistical analysis of cointegration vectors
• Cointegration in partial systems and the efficiency of single-equation analysis
• Structural analysis of vector error correction models with exogenous \(I(1)\) variables
• Noncausality in VAR-ECM models with purely exogeneous long-run paths
• Granger-causality in cointegrated VAR processes. The case of the term structure
• Granger causality, exogeneity, cointegration, and economic policy analysis
• Exogeneity
• Estimation for Partially Nonstationary Multivariate Autoregressive Models

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