Optimal estimation of cointegrated systems with irrelevant instruments
Year of publication: |
2014
|
---|---|
Authors: | Phillips, Peter C.B. |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 178.2014, P2, p. 210-224
|
Publisher: |
Elsevier |
Subject: | Asymptotic efficiency | Cointegrated system | Coverage probability | Instrumental variables | Irrelevant instrument | Karhunen–Loève representation | Optimal estimation | Orthonormal basis | Sieve estimation of stochastic processes | Trend basis | Trend likelihood |
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