Fully Modified Estimation in Cointegrating Polynomial Regressions: Extensions and Monte Carlo Comparison
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References listed on IDEAS
- Wagner, Martin & Hong, Seung Hyun, 2016. "Cointegrating Polynomial Regressions: Fully Modified Ols Estimation And Inference," Econometric Theory, Cambridge University Press, vol. 32(5), pages 1289-1315, October.
- Choi, In & Saikkonen, Pentti, 2010. "Tests For Nonlinear Cointegration," Econometric Theory, Cambridge University Press, vol. 26(3), pages 682-709, June.
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More about this item
Keywords
Cointegrating Polynomial Regression; Cointegration Testing; Fully Modified Estimation; Generalized Least Squares;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
- 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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2023-01-30 (Econometrics)
- NEP-ETS-2023-01-30 (Econometric Time Series)
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