Fully modified least squares cointegrating parameter estimation in multicointegrated systems
Year of publication: |
2023
|
---|---|
Authors: | Kheifets, Igor L. ; Phillips, Peter C. B. |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 232.2023, 2, p. 300-319
|
Subject: | Cointegration | Multicointegration | Fully modified regression | Singular long run variance matrix | Degenerate Wald test | Fiscal sustainability | Kointegration | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Kleinste-Quadrate-Methode | Least squares method | Statistischer Test | Statistical test |
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