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Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors

Kurozumi, Eiji; Hayakawa, Kazuhiko - In: Journal of Econometrics 149 (2009) 2, pp. 118-135

In this paper, we analytically investigate three efficient estimators for cointegrating regression models: Phillips and Hansen's [Phillips, P.C.B., Hansen, B.E., 1990. Statistical inference in instrumental variables regression with I(1) processes. Review of Economic Studies 57, 99-125] fully...

Persistent link: https://www.econbiz.de/10005022967

Testing for stationarity with a break

Kurozumi, Eiji - In: Journal of Econometrics 108 (2002) 1, pp. 63-99

Persistent link: https://www.econbiz.de/10005052814

Testing for stationarity with a break

Kurozumi, Eiji - In: Journal of econometrics 108 (2002) 1, pp. 63-100

Persistent link: https://www.econbiz.de/10006769405

Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors

Kurozumi, Eiji; Hayakawa, Kazuhiko - In: Journal of econometrics 149 (2009) 2, pp. 118-136

Persistent link: https://www.econbiz.de/10008883238

TESTING FOR PERIODIC STATIONARITY

Kurozumi, Eiji - In: Econometric reviews 21 (2002) 2, pp. 243

Persistent link: https://www.econbiz.de/10006893911

Investigating finite sample properties of estimators for approximate factor models when is small

Tanaka, Shinya; Kurozumi, Eiji - In: Economics letters 116 (2012) 3, pp. 465-469

Persistent link: https://www.econbiz.de/10010000188

Model selection criteria for the leads-and-lags cointegrating regression

Choi, In; Kurozumi, Eiji - In: Journal of econometrics 169 (2012) 2, pp. 224-239

Persistent link: https://www.econbiz.de/10009987060

Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors

Kurozumi, Eiji; Hayakawa, Kazuhiko - In: Journal of econometrics 149 (2009) 2, pp. 118-135

Persistent link: https://www.econbiz.de/10008239811

EQUIVALENCE OF TWO EXPRESSIONS OF THE IMPACT MATRIX

Kurozumi, Eiji; Chigira, Hiroaki; Yamamoto, Taku - In: Econometric theory 21 (2005) 4, pp. 870

Persistent link: https://www.econbiz.de/10006958756

THE RANK OF A SUBMATRIX OF COINTEGRATION

Kurozumi, Eiji - In: Econometric theory 21 (2005) 2, pp. 299-325

Persistent link: https://www.econbiz.de/10006960164

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