Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends

Journal of Econometrics

Volumn 53, Issue 1-3, 1992, Pages 87-121

  Hansen, Bruce E ^a  

^a UNIVERSITY OF ROCHESTER   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0008303163     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-4076(92)90081-2     Document Type: Article

References (24)

1. Heteroskedasticity and autocorrelation consistent covariance matrix estimation
2. Co-integration and error-correction Representation estimation and testing
3. Forecasting and testing in co-integrated systems
4. Multicointegration
5. A functional central limit theorem for weakly dependent sequences of random variables
6. Statistical analysis of cointegration vectors
7. A simple positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix
8. Statistical inference in regressions with integrated processes Part 1
9. Statistical inference in regressions with integrated processes Part 2
10. On consistent estimates of the spectrum of a stationary time series
11. Time series regression with a unit root
12. Reflections on econometric methodology
13. Optimal inference in cointegrated systems
14. Multiple time series with integrated variables
15. Statistical inference in instrumental variables regression with I(1) processes
16. Asymptotic properties of residual based tests for cointegration
17. Testing for unit roots in autoregressive-moving average models of unknown order
18. Inference in linear time series models with some unit roots
19. Asymptotic properties of least squares estimators of cointegrating vectors
20. Testing for common trends
21. Asymptotic normality when regressors have a unit root