The failure of orthogonality under nonstationarity: should we care about it?

DOI10.1155/2011/329870zbMath1214.62117OpenAlexW1964684573WikidataQ58692008 ScholiaQ58692008MaRDI QIDQ544476

Daniel Ventosa-Santaulària, Jose A. Campillo-García

Publication date: 15 June 2011

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/229134

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Cites Work

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• Exogeneity
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• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• Trends versus Random Walks in Time Series Analysis
• Time Series Regression with a Unit Root
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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