Instrumental Variable Interpretation Of Cointegration With Inference Results For Fractional Cointegration
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- Yiguo Sun, 2014. "Semi-Parametric Estimation Of Linear Cointegrating Models With Nonlinear Contemporaneous Endogeneity," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(5), pages 437-461, August.
- Alvaro Escribano & M. Santos & Ana Sipols, 2008. "Testing for cointegration using induced-order statistics," Computational Statistics, Springer, vol. 23(1), pages 131-151, January.
- Mauro Costantini & Roy Cerqueti, 2007. "Non parametric Fractional Cointegration Analysis," ISAE Working Papers 78, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
- P. M. Robinson & M. Gerolimetto, 2006.
"Instrumental variables estimation of stationary and non-stationary cointegrating regressions,"
Royal Economic Society, vol. 9(2), pages 291-306, July.
- M. Gerolimetto & Peter M Robinson, 2006. "Instrumental Variables Estimation of Stationaryand Nonstationary Cointegrating Regressions," STICERD - Econometrics Paper Series 500, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Robinson, Peter M. & Gerolimetto, M., 2006. "Instrumental variables estimation of stationary and nonstationary cointegrating regressions," LSE Research Online Documents on Economics 4539, London School of Economics and Political Science, LSE Library.
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