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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2024
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| Subjects: | |
| 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 |