Fully modified least squares estimation and inference for systems of cointegrating polynomial regressions

DOI10.1016/j.econlet.2023.111186OpenAlexW4377696178MaRDI QIDQ6093718

Martin Wagner

Publication date: 12 September 2023

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://www.ssoar.info/ssoar/handle/document/85110

zbMATH Keywords

hypothesis testinggeneralized least squaresfully modified estimationcointegrating polynomial regression

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Unnamed Item
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• A note on fully-modified estimation of seemingly unrelated regression models with integrated regressors.
• Fully modified OLS estimation and inference for seemingly unrelated cointegrating polynomial regressions and the environmental Kuznets curve for carbon dioxide emissions
• Integrated modified OLS estimation and fixed-\(b\) inference for cointegrating regressions
• COINTEGRATING POLYNOMIAL REGRESSIONS: FULLY MODIFIED OLS ESTIMATION AND INFERENCE
• Inference in Linear Time Series Models with some Unit Roots
• Efficient Estimation of the Seemingly Unrelated Regression Cointegration Model and Testing for Purchasing Power Parity
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias

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