Fully modified least squares cointegrating parameter estimation in multicointegrated systems-Reference-Cited by-同舟云学术

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Fully modified least squares cointegrating parameter estimation in multicointegrated systems

Published:2021-08 Issue: Volume: Page:
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Kheifets Igor L.,Phillips Peter C.B.

Funder

University of Auckland

Russian Science Foundation

National Science Foundation

Ministerio de Ciencia, Innovación y Universidades

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference34 articles.

1. Regime shifts in stock–flow I(2)–I(1) systems: the case of US fiscal sustainability;Berenguer-Rico;J. Appl. Econometrics,2011

2. Are stationarity and cointegration restrictions really necessary for the intertemporal budget constraint?;Bohn;J. Monetary Econ.,2007

3. Mixed normality and ancillarity in I(2) systems;Boswijk;Econom. Theory,2000

4. Mixed normal inference on multicointegration;Boswijk;Econom. Theory,2010

5. What is a sustainable public debt?;D’Erasmo,2016

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