High-dimensional IV cointegration estimation and inference

High-dimensional IV cointegration estimation and inference

A semiparametric triangular systems approach shows how multicointegrating linkages occur naturally in an I(1) cointegrated regression model when the long run error variance matrix in the system is singular. Under such singularity, cointegrated I(1) systems embody a multicointegrated structure that m...

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Bibliographic Details
Main Authors: PHILLIPS, Peter C. B., KHEIFETS, Igor L.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2024
Subjects:
Cointegration
HAR inference
High-dimensional IV
Long run variance matrix
Multicointegration
Singularity
Trend IV estimation
Econometrics
Economic Theory
Online Access:https://ink.library.smu.edu.sg/soe_research/2710
https://ink.library.smu.edu.sg/context/soe_research/article/3709/viewcontent/HighD_IV_cointegration_av.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2710
https://ink.library.smu.edu.sg/context/soe_research/article/3709/viewcontent/HighD_IV_cointegration_av.pdf

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