Estimation and Inference in a Possibly Multi-cointegrated System with a Fixed Number of Instruments
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- Sun, Yixiao & Phillips, Peter C.B. & Kheifets, Igor L., 2025. "Estimation and inference in a possibly multicointegrated system with a fixed number of instruments," Economics Letters, Elsevier, vol. 250(C).
References listed on IDEAS
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Cited by:
- Jungbin Hwang & Yixiao Sun, 2025. "Asymptotic F and t Tests in Cointegrating Regressions with Asymptotically Homogeneous Functions," Working papers 2025-01, University of Connecticut, Department of Economics.
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More about this item
JEL classification:
- 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 fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2024-11-11 (Econometrics)
- NEP-ETS-2024-11-11 (Econometric Time Series)
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