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Prewhitened unit root test

Maekawa, Koichi - In: Economics letters 45 (1994) 2, pp. 145-153

Persistent link: https://www.econbiz.de/10001163981

Comparing the Wald, LR and LM tests for heteroscedasticity in a linear regression model

Maekawa, Koichi - In: Economics letters 1 (1988), pp. 37-41

Persistent link: https://www.econbiz.de/10001042729

Finite sample comparisons of the distributions of the OLS and GLS estimators in regression with an integrated regressor and correlated errors

Maekawa, Koichi - In: Econometric reviews 17 (1998) 4, pp. 387-413

Persistent link: https://www.econbiz.de/10001250283

The distribution of the Durbin-Watson statistic in integrated and near-integrated models

Hisamatsu, Hiroyuki - In: Journal of econometrics 61 (1994) 2, pp. 367-382

Persistent link: https://www.econbiz.de/10001155764

Asymptotic expansions of the distributions of statistics related to the spectral density matrix in multivariate time series and their applications

Taniguchi, Masanobu - In: Econometric theory 6 (1990) 1, pp. 75-96

Persistent link: https://www.econbiz.de/10001085414

Efficiency properties of feasible generalized least squares estimators in SURE models under non-normal disturbances

Srivastava, Virendra K. - In: Journal of econometrics 66 (1995) 1/2, pp. 99-121

Persistent link: https://www.econbiz.de/10001174122

SUR models with integrated regressors

Maekawa, Koichi; Hisamatsu, Hiroyuki - In: Handbook of applied econometrics and statistical inference, (pp. 469-490). 2002

Persistent link: https://www.econbiz.de/10001701991

Asymptotic properties of the estimator of the long-run coefficient in a dynamic model with integrated regressors and serially correlated errors

Maekawa, Koichi (contributor); McAleer, Michael (contributor) - 2001 - [Elektronische Ressource]

In this paper we examine the asymptotic properties of the estimator of the long-run coefficient (LRC) in a dynamic regression model with integrated regressors and serially correlated errors. We show that the OLS estimators of the regression coefficients are inconsistent but the OLS-based...

Persistent link: https://www.econbiz.de/10001644304

Asymptotic properties of the estimator of the long-run coefficient in a dynamic model with integrated regressors and serially correlated errors

He, Zonglu; Maekawa, Koichi; McAleer, Michael - In: The Japanese economic review : the journal of the … 54 (2003) 4, pp. 420-438

Persistent link: https://www.econbiz.de/10001866933

On spurious Granger causality

He, Zonglu; Maekawa, Koichi - In: Economics letters 73 (2001) 3, pp. 307-313

Persistent link: https://www.econbiz.de/10001635086