Fully Modified Least Squares for Multicointegrated Systems
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More about this item
KeywordsCointegration; Multicointegration; Fully modified regression; Singular long run variance matrix; Degenerate Wald test; Fiscal sustainability;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2019-12-23 (Econometrics)
- NEP-ETS-2019-12-23 (Econometric Time Series)
- NEP-ORE-2019-12-23 (Operations Research)
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