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Instrumental variables estimation of stationary and non-stationary cointegrating regressions
Robinson, Peter M.; Gerolimetto, Margherita - In: The econometrics journal 9 (2006) 2, pp. 291-306
Persistent link: https://www.econbiz.de/10003352040
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Is integration I(d) applicable to observed economics and finance time series?
McCauley, Joseph L.; Bassler, Kevin E.; Gunaratne, Gemunu H. - In: International review of financial analysis 18 (2009) 3, pp. 101-108
Persistent link: https://www.econbiz.de/10003880011
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Joint LM test for homoskedasticity in a one-wa error component model
Baltagi, Badi H.; Bresson, Georges; Pirotte, Alain - In: Journal of econometrics 134 (2006) 2, pp. 401-417
Persistent link: https://www.econbiz.de/10003374325
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Cointegrating regressions with time heterogeneity
Kim, Chang Sik; Park, Joon Y. - In: Econometric reviews 29 (2010) 4, pp. 397-438
Persistent link: https://www.econbiz.de/10003978820
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Integrated modified OLS estimation and fixed-b inference for cointegrating regressions
Vogelsang, Timothy J.; Wagner, Martin - 2011
Persistent link: https://www.econbiz.de/10008902919
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A further note on the optimality of the OLS hedge strategy
Lien, Da-hsiang Donald - In: The journal of futures markets 28 (2008) 3, pp. 308-311
Persistent link: https://www.econbiz.de/10003699396
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A test strategy for spurious spatial regression, spatial nonstationarity, and spatial cointegration
Lauridsen, Jørgen; Kosfeld, Reinhold - In: Papers in regional science : the journal of the … 85 (2006) 3, pp. 363-377
Persistent link: https://www.econbiz.de/10003393588
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Three essays on nonlinear nonstationary econometrics and applied macroeconomics
Bae, Youngsoo - 2006
Persistent link: https://www.econbiz.de/10003965066
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Cointegrating polynomial regressions : fully modified OLS estimation and inference
Hong, Seung Hyun; Wagner, Martin - 2011
specification as well as a KPSS-type test for cointegration are derived. The theoretical analysis is complemented by a simulation …
Persistent link: https://www.econbiz.de/10009228949
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Forecasting mixed frequency time series with ECM-MIDAS models
Götz, Thomas B.; Hecq, Alain W. J.; Urbain, Jean-Pierre - 2012
Persistent link: https://www.econbiz.de/10009506570