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Automated estimation of vector error correction models
Liao, Zhipeng; Phillips, Peter C. B. - In: Econometric theory 31 (2015) 3, pp. 581-646
Persistent link: https://www.econbiz.de/10011290884
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Robust inference in structural vector autoregressions with long-run restrictions
Chevillon, Guillaume; Mavroeidis, Sophocles; Zhang, Zhaoguo - In: Econometric theory 36 (2020) 1, pp. 86-121
Persistent link: https://www.econbiz.de/10012156818
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Uniform convergence rates over maximal domains in structural nonparametric cointegrating regression
Duffy, James A. - In: Econometric theory 33 (2017) 6, pp. 1387-1417
Persistent link: https://www.econbiz.de/10011810424
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The asymptotic efficiency of cointegration estimators under temporal aggregation
Chambers, Marcus J. - In: Econometric theory 19 (2003) 1, pp. 49-77
Persistent link: https://www.econbiz.de/10001728173
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Asymptotic efficiency of the two stage estimator in I (2) systems
Paruolo, Paolo - In: Econometric theory 16 (2000) 4, pp. 524-550
Persistent link: https://www.econbiz.de/10001517334
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Cointegrating regressions with time varying coefficients
Park, Joon Y.; Hahn, Sang B. - In: Econometric theory 15 (1999) 5, pp. 664-703
Persistent link: https://www.econbiz.de/10001483394
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A note on testing restrictions for the cointegration parameters of a VAR with I (2) variables
Johansen, Søren; Lütkepohl, Helmut - In: Econometric theory 21 (2005) 3, pp. 653-658
Persistent link: https://www.econbiz.de/10002794790
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Estimation of the long-run average relationship in nonstationary panel time series
Sun, Yixiao - In: Econometric theory 20 (2004) 6, pp. 1227-1260
Persistent link: https://www.econbiz.de/10002424947
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Testing the null of no cointegration when covariates are known to have a unit root
Elliott, Graham; Pesavento, Elena - In: Econometric theory 25 (2009) 6, pp. 1829-1850
Persistent link: https://www.econbiz.de/10003904447
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Fully modified estimation of seasonally cointegrated processes
Grégoir, Stéphane - In: Econometric theory 26 (2010) 5, pp. 1491-1528
Persistent link: https://www.econbiz.de/10008662659