Nonlinear minimization estimators in the presence of cointegrating relations
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- Saikkonen, Pentti, 1995. "Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems," Econometric Theory, Cambridge University Press, vol. 11(05), pages 888-911, October.
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- Peel, David & Davidson, James, 1998. "A non-linear error correction mechanism based on the bilinear model1," Economics Letters, Elsevier, vol. 58(2), pages 165-170, February.
- de Jong, Robert M., 2001. "Nonlinear estimation using estimated cointegrating relations," Journal of Econometrics, Elsevier, vol. 101(1), pages 109-122, March.
- Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-144, January.
- Peter C.B. Phillips & Sam Ouliaris, 1987.
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847R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1988.
- Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-193, January.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Robert M. De Jong & James Davidson, 2000.
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Econometric Society, vol. 68(2), pages 407-424, March.
- de Jong, R.M. & Davidson, J., 1996. "Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices," Discussion Paper 1996-52, Tilburg University, Center for Economic Research.
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Econometric Society, vol. 59(3), pages 817-858, May.
- Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
- Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
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