Search Results - subject:"Cointegrating Polynomial Regression"

Monitoring cointegrating polynomial regressions : theory and application to the environmental Kuznets curves for carbon and sulfur dioxide emissions

Knorre, Fabian; Wagner, Martin; Grupe, Maximilian - In: Econometrics : open access journal 9 (2021) 1, pp. 1-35

This paper develops residual-based monitoring procedures for cointegrating polynomial regressions (CPRs), i.e., regression models including deterministic variables and integrated processes, as well as integer powers, of integrated processes as regressors. The regressors are allowed to be...

Persistent link: https://www.econbiz.de/10012503985

Fully modified least squares estimation and inference for systems of cointegrating polynomial regressions

Wagner, Martin - In: Economics letters 228 (2023), pp. 1-5

Persistent link: https://www.econbiz.de/10014455149

Monitoring cointegrating polynomial regressions: Theory and application to the environmental Kuznets curves for carbon and sulfur dioxide emissions

Knorre, Fabian; Wagner, Martin; Grupe, Maximilian - 2020

This paper develops residual-based monitoring procedures for cointegrating polynomial regressions, i. e. , regression models including deterministic variables, integrated processes as well as integer powers of integrated processes as regressors. The regressors are allowed to be endogenous and...

Persistent link: https://www.econbiz.de/10012416125

Monitoring cointegrating polynomial regressions : theory and application to the environmental Kuznets curves for carbon and sulfur dioxide emissions

Knorre, Fabian; Wagner, Martin; Grupe, Maximilian - 2020

Persistent link: https://www.econbiz.de/10012405301

The asymptotic validity of "standard" fully modified OLS estimation and inference in cointegrating polynomial regressions

Stypka, Oliver; Wagner, Martin; Grabarczyk, Peter; … - 2017

The paper considers estimation and inference in cointegrating polynomial regressions, i. e., regressions that include deterministic variables, integrated processes and their powers as explanatory variables. The stationary errors are allowed to be serially correlated and the regressors are...

Persistent link: https://www.econbiz.de/10011917375

The asymptotic validity of "standard" fully modified OLS estimation and inference in cointegrating polynomial regressions

Stypka, Oliver; Wagner, Martin; Grabarczyk, Peter; … - 2017

Persistent link: https://www.econbiz.de/10011736606

Fully modified OLS estimation and inference for seemingly unrelated cointegrating polynomial regressions and the environmental Kuznets curve for carbon dioxide emissions

Wagner, Martin; Grabarczyk, Peter; Hong, Seung Hyun - In: Journal of econometrics 214 (2020) 1, pp. 216-255

Persistent link: https://www.econbiz.de/10012438321

Cointegrating polynomial regressions: Fully modified OLS estimation and inference

Hong, Seung Hyun; Wagner, Martin - 2011

This paper develops a fully modified OLS estimator for cointegrating polynomial regressions, i.e. for regressions including deterministic variables, integrated processes and powers of integrated processes as explanatory variables and stationary errors. The errors are allowed to be serially...

Persistent link: https://www.econbiz.de/10010290986

Cointegrating Polynomial Regressions

Hong, Seung Hyun; Wagner, Martin - Department of Economics and Finance Research and … - 2011

Persistent link: https://www.econbiz.de/10008869182