Analysis of cointegrated models with measurement errors

DOI10.1080/00949655.2015.1032289OpenAlexW2106512185MaRDI QIDQ5222362

Hanwoom Hong, Sung K. Ahn, Sinsup Cho

Publication date: 1 April 2020

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

Full work available at URL: https://doi.org/10.1080/00949655.2015.1032289

zbMATH Keywords

measurement errorreduced-rank estimationerror correction modelvector autoregressive model

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items

Estimation of error correction model with measurement errors

Cites Work

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• Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions