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Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors

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  • Shin, Dong Wan
  • Oh, Man-Suk
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    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 122 (2004)
    Issue (Month): 2 (October)
    Pages: 247-280

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    Handle: RePEc:eee:econom:v:122:y:2004:i:2:p:247-280

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    Web page: http://www.elsevier.com/locate/jeconom

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    1. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    2. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May.
    3. Peter C.B. Phillips & Joon Y. Park, 1986. "Statistical Inference in Regressions with Integrated Processes: Part 2," Cowles Foundation Discussion Papers 819R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1987.
    4. Shin, Dong Wan & So, Beong Soo, 2000. "Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments," Journal of Econometrics, Elsevier, vol. 99(1), pages 107-137, November.
    5. Osborn, Denise R., 1993. "Seasonal cointegration," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 299-303.
    6. J. Breitung & P. H. Franses, 1996. "On Phillips-Perron Type Tests for Seasonal Unit Roots," SFB 373 Discussion Papers 1996,27, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    7. Phillips, Peter C.B., 1995. "Robust Nonstationary Regression," Econometric Theory, Cambridge University Press, vol. 11(05), pages 912-951, October.
    8. Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal, Integration And Cointegration," Papers 6-88-2, Pennsylvania State - Department of Economics.
    9. Ghysels, Eric & Lee, Hahn S. & Noh, Jaesum, 1994. "Testing for unit roots in seasonal time series : Some theoretical extensions and a Monte Carlo investigation," Journal of Econometrics, Elsevier, vol. 62(2), pages 415-442, June.
    10. Shin, Dong Wan & Oh, Man-Suk, 2000. "Semiparametric tests for seasonal unit roots based on a semiparametric feasible GLSE," Statistics & Probability Letters, Elsevier, vol. 50(3), pages 207-218, November.
    11. Ahn, Sung K. & Reinsel, Gregory C., 1994. "Estimation of partially nonstationary vector autoregressive models with seasonal behavior," Journal of Econometrics, Elsevier, vol. 62(2), pages 317-350, June.
    12. Lee, Hahn Shik, 1992. "Maximum likelihood inference on cointegration and seasonal cointegration," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 1-47.
    13. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
    14. Kitamura, Yuichi & Phillips, Peter C. B., 1997. "Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments," Journal of Econometrics, Elsevier, vol. 80(1), pages 85-123, September.
    15. Sheather, Simon J., 1986. "An improved data-based algorithm for choosing the window width when estimating the density at a point," Computational Statistics & Data Analysis, Elsevier, vol. 4(1), pages 61-65, June.
    16. Phillips, Peter C B, 1995. "Fully Modified Least Squares and Vector Autoregression," Econometrica, Econometric Society, vol. 63(5), pages 1023-78, September.
    17. Kitamura, Yuichi & Phillips, Peter C.B., 1995. "Efficient IV Estimation in Nonstationary Regression," Econometric Theory, Cambridge University Press, vol. 11(05), pages 1095-1130, October.
    18. Shin, Dong Wan & Oh, Man-Suk, 2002. "A new kernel for long-run variance estimates in seasonal time series models," Economics Letters, Elsevier, vol. 76(2), pages 165-171, July.
    19. Phillips, Peter C B & Hansen, Bruce E, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Wiley Blackwell, vol. 57(1), pages 99-125, January.
    20. Shin, Dong Wan & Oh, Man Suk, 2002. "Asymptotic Efficiency Of The Ordinary Least Squares Estimator For Regressions With Unstable Regressors," Econometric Theory, Cambridge University Press, vol. 18(05), pages 1121-1138, October.
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    Cited by:
    1. Shin, Dong Wan & Joon Kim, Han & Jhee, Won-Chul, 2007. "Asymptotic efficiency of the ordinary least-squares estimator for sur models with integrated regressors," Statistics & Probability Letters, Elsevier, vol. 77(1), pages 75-82, January.

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