The Role of "Leads" in the Dynamic OLS Estimation of Cointegrating Regression Models
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- Hayakawa, Kazuhiko & Kurozumi, Eiji, 2008. "The role of “leads” in the dynamic OLS estimation of cointegrating regression models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(3), pages 555-560.
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More about this item
KeywordsCointegration; dynamic ordinary least squares estimator; Granger causality;
- 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-ALL-2006-12-16 (All new papers)
- NEP-ECM-2006-12-16 (Econometrics)
- NEP-ETS-2006-12-16 (Econometric Time Series)
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