Root-n-consistent estimation of weak fractional cointegration
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Cited by:
- P. M. Robinson & M. Gerolimetto, 2006.
"Instrumental variables estimation of stationary and non-stationary cointegrating regressions,"
Econometrics Journal, Royal Economic Society, vol. 9(2), pages 291-306, July.
- M. Gerolimetto & Peter M Robinson, 2006. "Instrumental Variables Estimation of Stationaryand Nonstationary Cointegrating Regressions," STICERD - Econometrics Paper Series 500, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Robinson, Peter M. & Gerolimetto, M., 2006. "Instrumental variables estimation of stationary and nonstationary cointegrating regressions," LSE Research Online Documents on Economics 4539, London School of Economics and Political Science, LSE Library.
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More about this item
Keywords
Fractional cointegration; Parametric estimation; Asymptotic normality;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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