Advanced Search
MyIDEAS: Login

Adaptive Estimation of Cointegrating Regressions with ARMA Errors

Contents:

Author Info

  • Hodgson, D.J.

Abstract

No abstract is available for this item.

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

Paper provided by University of Rochester - Center for Economic Research (RCER) in its series RCER Working Papers with number 408.

as in new window
Length: 72 pages
Date of creation: 1995
Date of revision:
Handle: RePEc:roc:rocher:408

Contact details of provider:
Postal: University of Rochester, Center for Economic Research, Department of Economics, Harkness 231 Rochester, New York 14627 U.S.A.

Related research

Keywords: EVALUATION; COINTEGRATION;

Other versions of this item:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Kreiss Jens-Peter, 1987. "On Adaptive Estimation In Autoregressive Models When There Are Nuisance Functions," Statistics & Risk Modeling, De Gruyter, vol. 5(1-2), pages 59-76, February.
  2. Phillips, Peter C B & McFarland, James W & McMahon, Patrick C, 1996. "Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(1), pages 1-22, Jan.-Feb..
  3. Hodgson, D.J., 1995. "Adaptive Estimation of Error Correlation Models," RCER Working Papers 410, University of Rochester - Center for Economic Research (RCER).
  4. Linton, Oliver, 1993. "Adaptive Estimation in ARCH Models," Econometric Theory, Cambridge University Press, vol. 9(04), pages 539-569, August.
  5. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
  6. Drost, Feike C. & Klaassen, Chris A. J., 1997. "Efficient estimation in semiparametric GARCH models," Journal of Econometrics, Elsevier, vol. 81(1), pages 193-221, November.
  7. Barnhart, Scott W. & Szakmary, Andrew C., 1991. "Testing the Unbiased Forward Rate Hypothesis: Evidence on Unit Roots, Co-Integration, and Stochastic Coefficients," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(02), pages 245-267, June.
  8. Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
  9. Phillips, Peter C.B., 1995. "Robust Nonstationary Regression," Econometric Theory, Cambridge University Press, vol. 11(05), pages 912-951, October.
  10. Eugene F. Fama, 1963. "Mandelbrot and the Stable Paretian Hypothesis," The Journal of Business, University of Chicago Press, vol. 36, pages 420.
  11. Peter C.B. Phillips, 1988. "Optimal Inference in Cointegrated Systems," Cowles Foundation Discussion Papers 866R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1989.
  12. 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.
  13. Hodgson, D.J., 1995. "Adaptive Estimation of Cointegrated Models Simulation, Evidence and Application to the Forward Exchange Market," RCER Working Papers 409, University of Rochester - Center for Economic Research (RCER).
  14. Hakkio, Craig S. & Rush, Mark, 1989. "Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets," Journal of International Money and Finance, Elsevier, vol. 8(1), pages 75-88, March.
  15. Corbae, Dean & Lim, Kian-Guan & Ouliaris, Sam, 1992. "On Cointegration and Tests of Forward Market Unbiasedness," The Review of Economics and Statistics, MIT Press, vol. 74(4), pages 728-32, November.
  16. Jeganathan, P., 1995. "Some Aspects of Asymptotic Theory with Applications to Time Series Models," Econometric Theory, Cambridge University Press, vol. 11(05), pages 818-887, October.
  17. Baillie, Richard T & Lippens, Robert E & McMahon, Patrick C, 1983. "Testing Rational Expectations and Efficiency in the Foreign Exchange Market," Econometrica, Econometric Society, vol. 51(3), pages 553-63, May.
  18. Hodgson, D.J., 1996. "Robust Semiparametric Estimation in the Presence of Heterogeneity of Unknown Form," RCER Working Papers 416, University of Rochester - Center for Economic Research (RCER).
  19. Baillie, Richard T & Bollerslev, Tim, 1989. " Common Stochastic Trends in a System of Exchange Rates," Journal of Finance, American Finance Association, vol. 44(1), pages 167-81, March.
  20. Park, Joon Y, 1992. "Canonical Cointegrating Regressions," Econometrica, Econometric Society, vol. 60(1), pages 119-43, January.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2004. "Testing forward exchange rate unbiasedness efficiently: a semiparametric approach," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 325-353, November.
  2. Wang, Qin & Yao, Weixin, 2012. "An adaptive estimation of MAVE," Journal of Multivariate Analysis, Elsevier, vol. 104(1), pages 88-100, February.
  3. Douglas Hodgson, 2002. "Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form," Cahiers de recherche CREFE / CREFE Working Papers 146, CREFE, Université du Québec à Montréal.
  4. Marc Hallin & Ramon van den Akker & Bas Werker, 2012. "Rank-Based Tests of the Cointegrating Rank in Semiparametric Error Correction Models," Working Papers ECARES ECARES 2012-042, ULB -- Universite Libre de Bruxelles.
  5. Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2001. "Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach," Cahiers de recherche CREFE / CREFE Working Papers 143, CREFE, Université du Québec à Montréal.
  6. Douglas J. Hodgson & Keith Vorkink, 2001. "Efficient Estimation of Conditional Asset Pricing Models," Cahiers de recherche CREFE / CREFE Working Papers 144, CREFE, Université du Québec à Montréal.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:roc:rocher:408. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Gabriel Mihalache).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.