A control function approach for testing the usefulness of trending variables in forecast models and linear regression

DOI10.1016/j.jeconom.2011.02.014zbMath1441.62675OpenAlexW2024213706MaRDI QIDQ737994

Graham Elliott

Publication date: 12 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.02.014

zbMATH Keywords

cointegrationnear unit rootprediction regressions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

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Cites Work

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• Statistical analysis of cointegration vectors
• Bootstrapping unstable first-order autoregressive processes
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Inference in Linear Time Series Models with some Unit Roots
• Optimal Inference in Regression Models with Nearly Integrated Regressors
• Towards a unified asymptotic theory for autoregression
• On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots
• Efficient Tests for an Autoregressive Unit Root
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models