A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables

DOI10.1016/S0165-1889(00)00020-8zbMath0990.91047MaRDI QIDQ5958790

Luca Fanelli

Publication date: 3 March 2002

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

cointegrated error correctioncointegration ranklinear quadratic adjustment cost model

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (3)

PRESENT VALUE RELATIONS, GRANGER NONCAUSALITY, AND VAR STABILITY ⋮ Multi-equational linear quadratic adjustment cost models with rational expectations and cointe\-gration ⋮ Dynamic adjustment cost models with forward‐looking behaviour

Uses Software

• PcGive

Cites Work

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• The Efficient Estimation of Econometric Models with Rational Expectations
• Estimating Intertemporal Quadratic Adjustment Cost Models with Integrated Series
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• LONG-RUN STRUCTURAL MODELLING
• Identification in Parametric Models
• Estimation and inference in the linear-quadratic inventory model
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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