Search Results - subject:"Modified ordinary least squares"

A note on the estimation of long-run relationships in panel equations with cross-section linkages

Di Iorio, Francesca; Fachin, Stefano - In: Economics - The Open-Access, Open-Assessment E-Journal 6 (2012), pp. 1-18

, such as fully modified ordinary least squares and dynamic ordinary least squares. Seemingly unrelated regression estimators …

Persistent link: https://www.econbiz.de/10010954717

Long-run covariance and its applications in cointegration regression

Wang, Qunyong; Wu, Na - In: Stata Journal 12 (2012) 3, pp. 525-542

ordinary least squares, dynamic ordinary least squares, and canonical cointegration regression methods. We use several … lag order, and prewhitening of the data. cointreg enables the estimation of cointegration regression using fully modified …

Persistent link: https://www.econbiz.de/10010631461

Finite sample improvement in statistical inference with I(1) processes

Marinucci, D; Robinson, Peter M - London School of Economics (LSE) - 2001

Ordinary Least Squares (FM-OLS) procedure of Phillips and Hansen (1990) which use the FDLS idea have the same asymptotically … standard case when the data are I(1) and the cointegrating errors are I(0), proving that modifications of the Fully-Modified …

Persistent link: https://www.econbiz.de/10011126378

Finite sample improvements in statistical inference with I(1) processes

Marinucci, D.; Robinson, Peter - London School of Economics (LSE) - 2001

Persistent link: https://www.econbiz.de/10010745689

Finite Sample Improvement in Statistical Inference with I(1) Processes

Marinucci, D; Robinson, Peter M - Suntory and Toyota International Centres for Economics … - 2001

Persistent link: https://www.econbiz.de/10005797501

A Panel Unit Root and Panel Cointegration Test of the Complementarity Hypothesis in the Mexican Case: 1960–2001

Ramirez, Miguel - In: Atlantic Economic Journal 35 (2007) 3, pp. 343-356

Persistent link: https://www.econbiz.de/10005716261