Optimal Estimation of Cointegrated Systems with Irrelevant Instruments

Optimal Estimation of Cointegrated Systems with Irrelevant Instruments

It has been known since Phillips and Hansen (1990) that cointegrated systems can be consistently estimated using stochastic trend instruments that are independent of the system variables. A similar phenomenon occurs with deterministically trending instruments. The present work shows that such "...

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書目詳細資料
主要作者:	PHILLIPS, Peter C. B.
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2014
主題:	Asymptotic efficiency Cointegrated system Coverage probability Instrumental variables Irrelevant instrument Karhunen-Loeve representation Optimal estimation Orthonormal basis Sieve estimation of stochastic processes Trend basis Trend likelihood Econometrics
在線閱讀:	https://ink.library.smu.edu.sg/soe_research/1829 https://ink.library.smu.edu.sg/context/soe_research/article/2828/viewcontent/OptimalEstimationCointegratedSystemsIrrelevantInstruments_2014.pdf
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機構:	Singapore Management University
語言:	English

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