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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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Integrated modified OLS estimation and fixed-b inference for cointegrating regressions
Vogelsang, Timothy J.; Wagner, Martin - In: Journal of econometrics 178 (2014) 2, pp. 741-760
Persistent link: https://www.econbiz.de/10010257671
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Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
Christensen, Bent Jesper; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 197 (2017) 2, pp. 218-244
Persistent link: https://www.econbiz.de/10011818356
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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
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Combining p-values to test for multiple structural breaks in cointegrated regressions
Bergamelli, Michele; Bianchi, Annamaria; Khalaf, Lynda; … - In: Journal of econometrics 211 (2019) 2, pp. 461-482
Persistent link: https://www.econbiz.de/10012303823
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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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Discrete factor approximations in simultaneous equation models : estimating the impact of a dummy endogenous variable on a continuous outcome
Mroz, Thomas A. - In: Journal of econometrics 92 (1999) 2, pp. 233-274
Persistent link: https://www.econbiz.de/10001400166
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Discrete factor approximations in simultaneous equation models : estimating the impact of a dummy endogenous variable on a continuous outcome
Mroz, Thomas A. - In: Journal of econometrics 92 (1999) 2, pp. 233-274
Persistent link: https://www.econbiz.de/10001400168
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Limited information Bayesian analysis of a simultaneous equation with an autocorrelated error term and its application to the US gasoline market
Radchenko, Stanislav; Tsurumi, Hiroki - In: Journal of econometrics 133 (2006) 1, pp. 31-49
Persistent link: https://www.econbiz.de/10003354223
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The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators
Lawford, Steve; Stamatogiannis, Michalis P. - In: Journal of econometrics 148 (2009) 2, pp. 124-130
Persistent link: https://www.econbiz.de/10003833748