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Reduced rank regression in cointegrated models
Anderson, T. W. - In: Journal of econometrics 106 (2002) 2, pp. 203-216
Persistent link: https://www.econbiz.de/10001638890
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Fully modified least squares cointegrating parameter estimation in multicointegrated systems
Kheifets, Igor L.; Phillips, Peter C. B. - In: Journal of econometrics 232 (2023) 2, pp. 300-319
Persistent link: https://www.econbiz.de/10014339925
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When bias contributes to variance : true limit theory in functional coefficient cointegrating regression
Phillips, Peter C. B.; Wang, Ying - In: Journal of econometrics 232 (2023) 2, pp. 469-489
Persistent link: https://www.econbiz.de/10014340035
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Semiparametric inference in multivariate fractionally cointegrated systems
Hualde, J.; Robinson, Peter M. - In: Journal of econometrics 157 (2010) 2, pp. 492-511
Persistent link: https://www.econbiz.de/10008662973
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Functional-coefficient cointegration models
Xiao, Zhijie - In: Journal of econometrics 152 (2009) 2, pp. 81-92
Persistent link: https://www.econbiz.de/10003892686
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Measuring correlations of integrated but not cointegrated variables : a semiparametric approach
Sun, Yiguo; Hsiao, Cheng; Li, Qi - In: Journal of econometrics 164 (2011) 2, pp. 252-267
Persistent link: https://www.econbiz.de/10009301926
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Testing cointegration relationship in a semiparametric varying coefficient model
Gu, Jingping; Liang, Zhongwen - In: Journal of econometrics 178 (2014) 1, pp. 57-70
Persistent link: https://www.econbiz.de/10010255469
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An asymptotic invariance property of the common trends under linear transformations of the data
Johansen, Søren; Jusélius, Katarina - In: Journal of econometrics 178 (2014) 1, pp. 310-315
Persistent link: https://www.econbiz.de/10010256144
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Optimal estimation of cointegrated systems with irrelevant instruments
Phillips, Peter C. B. - In: Journal of econometrics 178 (2014) 1, pp. 210-224
Persistent link: https://www.econbiz.de/10010256172
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Estimation of long-run parameters in unbalanced cointegration
Hualde, Javier - In: Journal of econometrics 178 (2014) 2, pp. 761-778
Persistent link: https://www.econbiz.de/10010257663