Integrated modified OLS estimation and fixed-b inference for cointegrating regressions

Journal of Econometrics

Volumn 178, Issue 2, 2014, Pages 741-760

  Vogelsang, Timothy J ^a   Wagner, Martin ^b,c,d  

^a MICHIGAN STATE UNIVERSITY   (United States)

^b TU DORTMUND UNIVERSITY   (Germany)

^c INSTITUTE FOR ADVANCED STUDIES   (Austria)

^d Frisch Centre for Economic Research   (Norway)

Author keywords

Bandwidth; Cointegration; Fixed b asymptotics; FM OLS; IM OLS; Kernel

Indexed keywords

BANDWIDTH; REGRESSION ANALYSIS; SAMPLING; STATISTICAL TESTS;

ASYMPTOTICS; COINTEGRATION; FM-OLS; IM-OLS; KERNEL;

ESTIMATION;

EID: 84890860257     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2013.10.015     Document Type: Article

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