High-dimensional IV cointegration estimation and inference
Peter C. B. Phillips, Igor L. Kheifets
| Year of publication: |
2024
|
|---|---|
| Authors: | Phillips, Peter C. B. ; Kheifets, Igor L. |
| Subject: | Cointegration | HAR inference | High-dimensional IV | Long run variance matrix | Multicointegration | Singularity | Trend IV estimation | Kointegration | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Induktive Statistik | Statistical inference |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2023.105622 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015073919