Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments

Journal of Econometrics

Volumn 80, Issue 1, 1997, Pages 85-123

  Kitamura, Yuichi ^a   Phillips, Peter C B ^b  

^a UNIVERSITY OF MINNESOTA   (United States)

^b YALE UNIVERSITY   (United States)

Author keywords

Cointegration; Fully modified least squares; GIVE; GMM; Instrument validity; Long run covariance; Semiparametric correction; Unit roots

Indexed keywords

EID: 0012842962     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(97)00004-3     Document Type: Article

References (32)

1. Andrews, D.W.K., 1991. Heteroskedasticity and autocorrelation consistent covariance matrix estimation Econometrica 59, 817-858.
2. Bowden, R.J., Turkington, D.A., 1984. Instrumental Variables. Cambridge University Press, Cambridge.
3. Corbae, D., Ouliaris, S., Phillips, P.C.B., 1994. A reexamination of the consumption function using frequency domain regressions. Empirical Economics 19, 595-609.
4. Granger, C.W.J., Lee, T.H., 1990. Multicointegration. Advances in Econometrics 8, 71-84.
5. Grenander, U., Rosenblatt, M., 1957. Statistical Analysis of Stationary Time Series. Wiley, New York.
6. Hannan, E.J., 1963. Regression for time series. In: Rosenblatt, M., (Ed.), Time Series Analysis. Wiley, New York, pp. 17-37.
7. Hannan, E.J., 1970. Multiple Time Series. Wiley, New York.
8. Hansen, B.E., 1990. Estimation and inference in models of cointegration. Advances in Econometrics 8, 225-248.
9. Hansen, L.P., 1982. Large sample properties of generalized method of moments estimators Econometrica 50, 1029-1054.
10. Hansen, L.P., Sargent, T.J., 1991. Rational Expectations Econometrics. Westview Press, Boulder, Co.
11. Hansen, L.P., Singleton, K.J., 1982. Generalized instrumental variables estimation of nonlinear rational expectation models. Econometrica 50, 1269-1286.
12. Johansen, S., 1988. Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control 12, 231-254.
13. Kitamura, Y., 1994. Hypothesis testing in models with possibly non-stationar processes, University of Minnesota, mimeographed.
14. McCallum, B.T., 1979. Topics concerning the formulation, estimation, and use of macroeconometric models with rational expectations, American Statistical Association Proceedings of the Business and Economic Statistics Section, pp. 65-72.
15. Muirhead, R.J., 1982. Aspects of Multivariate Statistical Theory. Wiley, New York.
16. Park, J.Y., 1992. Canonical cointegrating regressions. Econometrica 60, 119-143.
17. Parzen, E., 1957. On consistent estimates of the spectrum of a stationary time series. Annals of Mathematical Statistics 28, 329-348.
18. Phillips, P.C.B., 1986. Understanding spurious regressions in econometrics. Journal of Econometrics 33, 311-340.
19. Phillips, P.C.B., 1991a. Time series regression with cointegrated regressors, Yale University, mimeographed.
20. Phillips, P.C.B., 1991b. Optimal inference in cointegrated systems. Econometrica 59, 283-306.
21. Phillips, P.C.B., 1991c. Spectral regression for cointegrated time series. In: Barnett, W., Powell, J., Tauchen, G. (Eds.), Nonparametric and Semiparametric Methods in Economics and Statistics. Cambridge University Press, New York.
22. Phillips, P.C.B., 1995. Fully modified least squares and vector autoregressions Econometrica 63, 1023-1078.
23. Phillips, P.C.B., Durlauf, S.N., 1986. Multiple time series with integrated variables, Review of Economic Studies 53, 473-496.
24. Phillips, P.C.B., Hansen, B.E., 1990. Statistical inference in instrumental variables regression with I(1) processes. Review of Economic Studies 57, 99-125.
25. Phillips, P.C.B., Loretan, M., 1991. Estimating long-run economic equilibria. Review of Economic Studies 59, 407-436.
26. Phillips, P.C.B., Park, J.Y., 1988. Asymptotic equivalence of ordinary least squares and generalized least squares in regressions with integrated regressors. Journal of the American Economic Association 83, 111-115.
27. Saikkonen, P., 1991. Asymptotically efficient estimation of cointegration regressions. Econometric Theory 7, 1-21.
28. Sargan, J.D., 1958. The estimation of economic relationships using instrumental variables. Econometrica 26, 393-415.
29. Sargan, J.D., 1959. The estimation of relationships with autocorrelated residuals by the use of the instrumental variables. Journal of the Royal Statistical Society B 21, 91-105.
30. Sargan, J.D., 1988. Lectures on Advanced Econometrics. Basil Blackwell, New York.
31. Stock, J.H., Watson, M.W., 1993. A simple estimator of cointegrating vectors in higher order integrated systems. Econometrica 61, 783-820.
32. White, H., 1984. Asymptotic Theory for Econometricians. Academic Press, New York.