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Fully Modified Least Squares Estimation and Inference for Systems of Cointegrating Polynomial Regressions
[Arbeitspapier]
Körperschaftlicher Herausgeber
Institut für Höhere Studien (IHS), Wien
Abstract We consider fully modified least squares estimation for systems of cointegrating polynomial regressions, i. e., systems of regressions that include deterministic variables, integrated processes and their powers as regressors. The errors are allowed to be correlated across equations, over time and wi... mehr
We consider fully modified least squares estimation for systems of cointegrating polynomial regressions, i. e., systems of regressions that include deterministic variables, integrated processes and their powers as regressors. The errors are allowed to be correlated across equations, over time and with the regressors. Whilst, of course, fully modified OLS and GLS estimation coincide - for any regular weighting matrix - without restrictions on the parameters and with the same regressors in all equations, this equivalence breaks down, in general, in case of parameter restrictions and/or different regressors across equations. Consequently, we discuss in detail restricted fully modified GLS estimators and inference based upon them.... weniger
Thesaurusschlagwörter
Schätzung; Regression; Hypothesenprüfung
Klassifikation
Erhebungstechniken und Analysetechniken der Sozialwissenschaften
Freie Schlagwörter
fully modified estimation; cointegrating polynomial regression; generalized least squares
Sprache Dokument
Englisch
Publikationsjahr
2023
Erscheinungsort
Wien
Seitenangabe
13 S.
Schriftenreihe
IHS Working Paper, 44
Status
Veröffentlichungsversion; begutachtet