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Identifying, estimating and testing restricted cointegrated systems : an overview

Boswijk, Herman Peter (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001752394

Block local to unity and continous record asymptotics

Boswijk, Herman Peter - 2001

Persistent link: https://www.econbiz.de/10001616911

Mixed normal inference on multicointegration

Boswijk, Herman Peter - In: Econometric theory 26 (2010) 5, pp. 1565-1576

Persistent link: https://www.econbiz.de/10008662656

Block local to unity and continuous record asymptotics

Boswijk, Herman Peter - 2001

This paper provides a continuous record interpretation of the block local to unity asymptotics proposed recentlyby Phillips, Moon and Xiao (2001). It also demonstrates that in the case of homogeneous dynamics and a fixednumber of blocks, the new asymptotic approximation coincides with the...

Persistent link: https://www.econbiz.de/10011317450

Cointegration, identification and exogeneity : inference in structural error correction models

Boswijk, Herman Peter - 1992

Persistent link: https://www.econbiz.de/10013265215

Statistical algorithms for models in state space using SsfPack 2.2

Koopman, Siem Jan; Shephard, Neil G.; Doornik, Jurgen A. - In: The econometrics journal 2 (1999) 1, pp. 107-160

Persistent link: https://www.econbiz.de/10001449270

Inference in cointegration models : UK M1 revisited

Doornik, Jurgen A.; Hendry, David F.; Nielsen, Bent - In: Journal of economic surveys 12 (1998) 5, pp. 533-572

Persistent link: https://www.econbiz.de/10001400862

Inference in cointegrating models : UK M1 revisited

Doornik, Jurgen A.; Hendry, David F.; Nielsen, Bent - In: Practical issues in cointegration analysis, (pp. 117-156). 1999

Persistent link: https://www.econbiz.de/10001550932

The influence of VAR dimensions on estimator biases : comment

Doornik, Jurgen A.; Nielsen, Bent; Rothenberg, Thomas J. - In: Econometrica : journal of the Econometric Society, an … 71 (2003) 1, pp. 377-383

Persistent link: https://www.econbiz.de/10001731136

Inference and forecasting for ARFIMA models with an application to US and UK inflation

Doornik, Jurgen A. (contributor); Ooms, Marius (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 8 (2004) 2

Persistent link: https://www.econbiz.de/10002652109