Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 11 (1995)
Issue (Month): 05 (October)
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- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, . "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Tinbergen Institute Discussion Papers 13-187/III, Tinbergen Institute.
- Kunpeng Li & Degui Li & Zhongwen Lian & Cheng Hsiao, 2013. "Semiparametric Profile Likelihood Estimation of Varying Coefficient Models with Nonstationary Regressors," Monash Econometrics and Business Statistics Working Papers 2/13, Monash University, Department of Econometrics and Business Statistics.
- Robert M. deJong, 2000. "Nonlinear Minimization Estimators in the Presence of Cointegrating Relations," Econometric Society World Congress 2000 Contributed Papers 1651, Econometric Society.
- Kristensen, Dennis & Rahbek, Anders, 2010. "Likelihood-based inference for cointegration with nonlinear error-correction," Journal of Econometrics, Elsevier, vol. 158(1), pages 78-94, September.
- Chambers, Marcus J. & Roderick McCrorie, J., 2007. "Frequency domain estimation of temporally aggregated Gaussian cointegrated systems," Journal of Econometrics, Elsevier, vol. 136(1), pages 1-29, January.
- Nedeljkovic, Milan, 2008. "Testing for Smooth Transition Nonlinearity in Adjustments of Cointegrating Systems," The Warwick Economics Research Paper Series (TWERPS) 876, University of Warwick, Department of Economics.
- Dennis Kristensen & Anders Rahbek, 2007. "Likelihood-Based Inference in Nonlinear Error-Correction Models," CREATES Research Papers 2007-38, School of Economics and Management, University of Aarhus.
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