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Integrated Modified Least Squares Estimation and (Fixed-b) Inference for Systems of Cointegrating Multivariate Polynomial Regressions
[working paper]
Corporate Editor
Institut für Höhere Studien (IHS), Wien
Abstract We consider integrated modified least squares estimation for systems of cointegrating multivariate polynomial regressions, i. e., systems of regressions that include deterministic variables, integrated processes and products of these variables as regressors. The errors are allowed to be correlated ac... view more
We consider integrated modified least squares estimation for systems of cointegrating multivariate polynomial regressions, i. e., systems of regressions that include deterministic variables, integrated processes and products of these variables as regressors. The errors are allowed to be correlated across equations, over time and with the regressors. Since, under restrictions on the parameters or in case of non-identical regressors across equations, integrated modified OLS and GLS estimation do not, in general, coincide, we discuss in detail restricted integrated generalized least squares estimators and inference based upon them. Furthermore, we develop asymptotically pivotal fixed-b inference, available only in case of full design and for specific hypotheses.... view less
Keywords
regression; estimation
Classification
National Economy
Free Keywords
integrated modified estimation; cointegrating multivariate polynomial regression; fixed-b inference; generalized least squares
Document language
English
Publication Year
2024
City
Wien
Page/Pages
16 p.
Series
IHS Working Paper, 54
Status
Published Version; reviewed