Comparing cointegrating regression estimators:
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Publication:672881
DOI10.1016/0165-1765(94)00632-CzbMath0875.62593OpenAlexW2150653587MaRDI QIDQ672881
Publication date: 28 February 1997
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0165-1765(94)00632-c
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
Related Items (3)
Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors ⋮ Has trade become more responsive to income? Assessing the evidence for US imports ⋮ Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series
Cites Work
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Estimating Long-Run Economic Equilibria
- A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
- Estimating long-run relationships in economics. A comparison of different approaches
- Canonical Cointegrating Regressions
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