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

Citations

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Cited by:

  1. Miguel à ngel Mendoza-González & Alberto Villagra-Piña, 2021. "Efectos de la Covid-19 y la restricción a la movilidad de las personas sobre el consumo adictivo de cigarros en México, 2005-2020," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(3), pages 1-20, Julio - S.
  2. Wagner, Martin & Wied, Dominik, 2014. "Monitoring Stationarity and Cointegration," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100386, Verein für Socialpolitik / German Economic Association.
  3. Yicong Lin & Hanno Reuvers, 2019. "Efficient Estimation by Fully Modified GLS with an Application to the Environmental Kuznets Curve," Papers 1908.02552, arXiv.org, revised Aug 2020.
  4. Julia Reynolds & Leopold Sögner & Martin Wagner, 2021. "Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 13(2), pages 105-146, June.
  5. Fabian Knorre & Martin Wagner & Maximilian Grupe, 2021. "Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions," Econometrics, MDPI, vol. 9(1), pages 1-35, March.
  6. Ihsan Bozok & Bahar Sen Dogan & Caglar Yunculer, 2015. "Estimating Income and Price Elasticity of Turkish Exports with Heterogeneous Panel Time-Series Methods," Working Papers 1526, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  7. Christis Katsouris, 2023. "Limit Theory under Network Dependence and Nonstationarity," Papers 2308.01418, arXiv.org, revised Aug 2023.
  8. Martin Wagner & Dominik Wied, 2017. "Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(6), pages 960-980, November.
  9. Hirukawa, Masayuki, 2023. "Robust Covariance Matrix Estimation in Time Series: A Review," Econometrics and Statistics, Elsevier, vol. 27(C), pages 36-61.
  10. Phillips, Peter C.B. & Kheifets, Igor L., 2024. "High-dimensional IV cointegration estimation and inference," Journal of Econometrics, Elsevier, vol. 238(2).
  11. Tomas Havranek & Zuzana Irsova & Jiri Schwarz, 2016. "Dynamic elasticities of tax revenue: evidence from the Czech Republic," Applied Economics, Taylor & Francis Journals, vol. 48(60), pages 5866-5881, December.
  12. Ying Wang & Peter C. B. Phillips & Yundong Tu, 2024. "Limit Theory and Inference in Non-cointegrated Functional Coefficient Regression," Cowles Foundation Discussion Papers 2399, Cowles Foundation for Research in Economics, Yale University.
  13. He, Qing & Korhonen, Iikka & Qian, Zongxin, 2021. "Monetary policy transmission with two exchange rates of a single currency: The Chinese experience," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 558-576.
  14. Javier Hualde & Fabrizio Iacone, 2015. "Small-b and Fixed-b Asymptotics for Weighted Covariance Estimation in Fractional Cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(4), pages 528-540, July.
  15. Pellatt , Daniel & Sun, Yixiao, 2020. "Asymptotic F test in Regressions with Observations Collected at High Frequency over Long Span," University of California at San Diego, Economics Working Paper Series qt19f0d9wz, Department of Economics, UC San Diego.
  16. Jan Mutl & Leopold Sögner, 2019. "Parameter estimation and inference with spatial lags and cointegration," Econometric Reviews, Taylor & Francis Journals, vol. 38(6), pages 597-635, July.
  17. Peter C.B. Phillips & Igor Kheifets, 2021. "On Multicointegration," Cowles Foundation Discussion Papers 2306, Cowles Foundation for Research in Economics, Yale University.
  18. Casini, Alessandro, 2024. "The fixed-b limiting distribution and the ERP of HAR tests under nonstationarity," Journal of Econometrics, Elsevier, vol. 238(2).
  19. Qing, He & Korhonen, Iikka & Zongxin, Qian, 2017. "Monetary policy transmission with two exchange rates and a single currency : The Chinese experience," BOFIT Discussion Papers 14/2017, Bank of Finland, Institute for Economies in Transition.
  20. Pellatt, Daniel F. & Sun, Yixiao, 2023. "Asymptotic F test in regressions with observations collected at high frequency over long span," Journal of Econometrics, Elsevier, vol. 235(2), pages 1281-1309.
  21. Qing, He & Korhonen, Iikka & Zongxin, Qian, 2017. "Monetary policy transmission with two exchange rates and a single currency: The Chinese experience," BOFIT Discussion Papers 14/2017, Bank of Finland Institute for Emerging Economies (BOFIT).
  22. Wagner, Martin & Grabarczyk, Peter & Hong, Seung Hyun, 2020. "Fully modified OLS estimation and inference for seemingly unrelated cointegrating polynomial regressions and the environmental Kuznets curve for carbon dioxide emissions," Journal of Econometrics, Elsevier, vol. 214(1), pages 216-255.
  23. repec:zbw:bofitp:2017_014 is not listed on IDEAS
  24. Dilem Yıldırım & Ethem Erdem Orman, 2016. "The Feldstein-Horioka Puzzle in the Presence of Structural Breaks: Evidence from China," ERC Working Papers 1601, ERC - Economic Research Center, Middle East Technical University, revised Jan 2016.
  25. Karsten Reichold & Carsten Jentsch, 2022. "A Bootstrap-Assisted Self-Normalization Approach to Inference in Cointegrating Regressions," Papers 2204.01373, arXiv.org.
  26. Taha Zaghdoudi & Abdelaziz Hakimi, 2017. "Does external debt- poverty relationship confirm the debtoverhang hypothesis for developing counties?," Economics Bulletin, AccessEcon, vol. 37(2), pages 653-665.
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