Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Regressions
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- Vogelsang, Timothy J. & Wagner, Martin, 2014. "Integrated modified OLS estimation and fixed-b inference for cointegrating regressions," Journal of Econometrics, Elsevier, vol. 178(2), pages 741-760.
References listed on IDEAS
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More about this item
Keywords
Bandwidth; cointegration; fixed-b asymptotics; Fully Modified OLS; IM-OLS; kernel;All these keywords.
JEL classification:
- C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
- 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-2011-01-30 (Econometrics)
- NEP-ETS-2011-01-30 (Econometric Time Series)
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