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Persistent link: https://www.econbiz.de/10013423908
This paper shows that the integrated modified OLS (IM-OLS) estimator developed for cointegrating linear regressions in Vogelsang and Wagner (2014a) can be straightforwardly extended to cointegrating multivariate polynomial regressions. These are regression models that include as explanatory...
Persistent link: https://www.econbiz.de/10014519282
We consider integrated modified least squares estimation for systems of cointegrating multivariate polynomial regressions, i. e., systems of regressions that include deterministic variables, integrated processes and products of these variables as regressors. The errors are allowed to be...
Persistent link: https://www.econbiz.de/10014529360