Fully modified least squares cointegrating parameter estimation in multicointegrated systems

Fully modified least squares cointegrating parameter estimation in multicointegrated systems

Multicointegration is traditionally defined as a particular long run relationship among variables in a parametric vector autoregressive model that introduces additional cointegrating links between these variables and partial sums of the equilibrium errors. This paper departs from the parametric mode...

Full description

Saved in:
Bibliographic Details
Main Authors: KHEIFETS, Igor L., PHILLIPS, Peter C. B.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2023
Subjects:
cointegration
multicointegration
fully modified regression
singular long run variance matrix
degenerate Wald test
fiscal sustainability
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2691
https://ink.library.smu.edu.sg/context/soe_research/article/3690/viewcontent/Fully_modifiedLSC_av.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2691
https://ink.library.smu.edu.sg/context/soe_research/article/3690/viewcontent/Fully_modifiedLSC_av.pdf

Similar Items