Stochastic cointegration: Estimation and inference

Journal of Econometrics

Volumn 111, Issue 2, 2002, Pages 363-384

  Harris, David ^a   McCabe, Brendan ^b   Leybourne, Stephen ^c  

^a UNIVERSITY OF MELBOURNE   (Australia)

^b UNIVERSITY OF LIVERPOOL   (United Kingdom)

^c UNIVERSITY OF NOTTINGHAM   (United Kingdom)

Author keywords

Heteroscedastic integration and cointegration; Instrumental variables; Stochastic cointegration

Indexed keywords

COMPUTER SIMULATION; LEAST SQUARES APPROXIMATIONS; MONTE CARLO METHODS; NONLINEAR EQUATIONS; REGRESSION ANALYSIS; VECTORS;

HETEROSCEDASTICITY; INSTRUMENTAL VARIABLES (IV);

STOCHASTIC PROGRAMMING;

EID: 0142152127     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(02)00111-2     Document Type: Conference Paper

References (7)

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5. McCabe, B.P.M., Leybourne, S.J., Harris, D., 2001. Stochastic cointegration: testing. Manuscript, available at www.ecom.unimelb.edu.au/ecowww/dharris/index.html.
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