Autoregressive distributed lag models and cointegration
From MaRDI portal
Publication:862779
DOI10.1007/s10182-006-0221-5zbMath1103.62082OpenAlexW3121662532MaRDI QIDQ862779
Publication date: 24 January 2007
Published in: AStA. Allgemeines Statistisches Archiv (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/28020
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)
Related Items (4)
Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico ⋮ Likelihood-based quantile autoregressive distributed lag models and its applications ⋮ A re-examination of Libor rigging: a time-varying cointegration perspective ⋮ Estimation and inference in adaptive learning models with slowly decreasing gains
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Estimating Long-Run Economic Equilibria
- Structural vector autoregressive analysis for cointegrated variables
- Cointegration in partial systems and the efficiency of single-equation analysis
- Testing for an unstable root in conditional and structural error correction models
- Efficient inference on cointegration parameters in structural error correction models
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Multiple Time Series Regression with Integrated Processes
- Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors
- Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
- Error-correction Mechanism Tests for Cointegration in a Single-equation Framework
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- THE ET INTERVIEW: PROFESSOR DAVID F. HENDRY: Interviewed by Neil R. Ericsson
This page was built for publication: Autoregressive distributed lag models and cointegration