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Analysis of vector autoregressions in the presence of shifts in mean

Ng, Serena; Vogelsang, Timothy J. - In: Econometric reviews 21 (2002) 3, pp. 353-381

Persistent link: https://www.econbiz.de/10001718766

Testing for common deterministic trend slopes

Vogelsang, Timothy J.; Franses, Philip Hans - In: Journal of econometrics 126 (2005) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10002538623

Tests of common deterministic trend slopes applied to quarterly global temperature data

Fomby, Thomas B.; Vogelsang, Timothy J. - In: Maximum likelihood estimation of misspecified models : …, (pp. 29-43). 2003

Persistent link: https://www.econbiz.de/10001916266

Integrated modified OLS estimation and fixed-b inference for cointegrating multivariate polynomial regressions

Vogelsang, Timothy J.; Wagner, Martin - 2024

This paper shows that the integrated modified OLS (IM-OLS) estimator developed for cointegrating linear regressions in Vogelsang and Wagner (2014a) can be straightforwardly extended to cointegrating multivariate polynomial regressions. These are regression models that include as explanatory...

Persistent link: https://www.econbiz.de/10014519282