New small sample estimators for cointegration regression: low-pass spectral filter method
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Publication:674067
DOI10.1016/0165-1765(94)00557-IzbMath1121.91404OpenAlexW2015882868MaRDI QIDQ674067
Yikang Li, Mark Rush, G. S. Maddala
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)00557-i
Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)
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Low-pass filtered least squares estimators of cointegrating vectors ⋮ Unit-root detection allowing for measurement error
Cites Work
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Statistical analysis of cointegration vectors
- Bootstrapping cointegrating regression
- Optimal Inference in Cointegrated Systems
- Canonical Cointegrating Regressions
- Time Series Regression with a Unit Root
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Bootstrapping time series models
