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Dynamic seemingly unrelated cointegrating regressions

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A spurious regression approach to estimating structural parameters

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Dynamic seemingly unrelated cointegrating regression

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Dynamic seemingly unrelated cointegrating regression

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Dynamic Seemingly Unrelated Cointegrating Regression

Mark, Nelson C.; Ogaki, Masao; Sul, Donggyu - 2021

Multiple cointegrating regressions are frequently encountered in empirical work as, for example, in the analysis of panel data. When the equilibrium errors are correlated across equations, the seemingly unrelated regression estimation strategy can be applied to cointegrating regressions to...

Persistent link: https://www.econbiz.de/10013232465

Dynamic Seemingly Unrelated Cointegrating Regression

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