Fully modified least squares cointegrating parameter estimation in multicointegrated systems

• Main Authors: KHEIFETS, Igor L., PHILLIPS, Peter C. B.
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2023
• 主題: cointegration; multicointegration; fully modified regression; singular long run variance matrix; degenerate Wald test; fiscal sustainability; Econometrics
• 在線閱讀: 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
• 機構: Singapore Management University

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...