High-dimensional IV cointegration estimation and inference

DOI10.1016/j.jeconom.2023.105622OpenAlexW4389469681MaRDI QIDQ6193065

Peter C. B. Phillips, Igor L. Kheifets

Publication date: 13 February 2024

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2023.105622

zbMATH Keywords

singularitycointegrationmulticointegrationlong run variance matrixHAR inferencehigh-dimensional IVtrend IV estimation

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Unnamed Item
• Estimating Long-Run Economic Equilibria
• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• A theory of robust long-run variance estimation
• Statistical analysis of hypotheses on the cointegrating relations in the \(I(2)\) model
• Understanding spurious regressions in econometrics
• Statistical analysis of cointegration vectors
• Asymptotics for linear processes
• Testing for multicointegration
• A multicointegration model of global climate change
• Challenges of trending time series econometrics
• Optimal estimation of cointegrated systems with irrelevant instruments
• Integrated modified OLS estimation and fixed-\(b\) inference for cointegrating regressions
• Fully modified least squares cointegrating parameter estimation in multicointegrated systems
• MIXED NORMALITY AND ANCILLARITY IN I(2) SYSTEMS
• Estimation and Inference With Weak, Semi-Strong, and Strong Identification
• GMM ESTIMATION AND UNIFORM SUBVECTOR INFERENCE WITH POSSIBLE IDENTIFICATION FAILURE
• Optimal Inference in Cointegrated Systems
• A Stastistical Analysis of Cointegration for I(2) Variables
• Likelihood Analysis of the I(2) Model
• ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS
• New Tools for Understanding Spurious Regressions
• SIMPLE, ROBUST, AND ACCURATEFANDtTESTS IN COINTEGRATED SYSTEMS
• Long-Run Covariability
• Band Spectrum Regression
• Fully Modified Least Squares and Vector Autoregression
• MIXED NORMAL INFERENCE ON MULTICOINTEGRATION
• Band Spectral Regression with Trending Data
• A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS
• HAC ESTIMATION BY AUTOMATED REGRESSION