Fully Modified Least Squares for Multicointegrated Systems
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Cited by:
- Peter C.B. Phillips & Igor Kheifets, 2021. "On Multicointegration," Cowles Foundation Discussion Papers 2306, Cowles Foundation for Research in Economics, Yale University.
- Kheifets, Igor L. & Phillips, Peter C.B., 2023.
"Fully modified least squares cointegrating parameter estimation in multicointegrated systems,"
Journal of Econometrics, Elsevier, vol. 232(2), pages 300-319.
- Igor L. Kheifets & Peter C. B. Phillips, 2021. "Fully Modified Least Squares Cointegrating Parameter Estimation in Multicointegrated Systems," Papers 2108.03486, arXiv.org.
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More about this item
Keywords
Cointegration; Multicointegration; Fully modified regression; Singular long run variance matrix; Degenerate Wald test; Fiscal sustainability;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2019-12-23 (Econometrics)
- NEP-ETS-2019-12-23 (Econometric Time Series)
- NEP-ORE-2019-12-23 (Operations Research)
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