PHILLIPSHANNAN: RATS procedure to compute Phillips-Hannan Efficient estimator for multivariate regressions
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Other versions of this item:
- Phillips, P C B, 1991. "Error Correction and Long-Run Equilibrium in Continuous Time," Econometrica, Econometric Society, vol. 59(4), pages 967-980, July.
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KeywordsSpectral analysis; cointegration; Hannan efficient estimation;
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