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Regression trendbehafteter Zeitreihen in der Ökonometrie

Hassler, Uwe - 2000 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001516312

MALCOLM : the theory and practice of cointegration analysis in RATS

Oxley, Les - In: Journal of economic surveys 14 (2000) 3, pp. 359-371

Persistent link: https://www.econbiz.de/10001504130

The seemingly unrelated dynamic cointegration regression model and testing for purchasing power parity

Moon, Hyungsik Roger; Perron, Benoit - 2000

Persistent link: https://www.econbiz.de/10001504780

On the estimation and inference of a cointegrated regression in panel data

Kao, Chihwa; Chiang, Min-hsien - In: Nonstationary panels, panel cointegration, and dynamic …, (pp. 179-222). 2000

Persistent link: https://www.econbiz.de/10001583122

On the comparison of OLS and GLS in cointegration regressions

Jo, Sunghan; Park, Joon Y. - In: Journal of economic theory and econometrics : journal … 3 (1997) 2, pp. 1-12

Persistent link: https://www.econbiz.de/10001560608

Integrated modified least squares estimation and (fixed-b) inference for systems of cointegrating multivariate polynomial regression

Veldhuis, Sebastian; Wagner, Martin - 2024

Persistent link: https://www.econbiz.de/10015163143

On the Estimation and Inference of a Cointegrated Regression in Panel Data

Kao, Chihwa - 2011

The main contribution of this paper is to add to the literature by suggesting a dynamic OLS (DOLS) estimator and providing a serious comparison of the finite sample properties of the OLS, fully modified OLS (FMOLS), and DOLS estimators in panel cointegrated regression models. Monte Carlo results...

Persistent link: https://www.econbiz.de/10013127238

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

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

Vogelsang, Timothy J.; Wagner, Martin - 2011

literature. -- bandwidth ; cointegration ; fixed-b asymptotics ; fully modified OLS ; IM-OLS ; kernel …

Persistent link: https://www.econbiz.de/10009686172

Cointegrating polynomial regressions : fully modified OLS estimation and inference

Hong, Seung Hyun; Wagner, Martin - 2011

specification as well as a KPSS-type test for cointegration are derived. The theoretical analysis is complemented by a simulation …

Persistent link: https://www.econbiz.de/10009686189