Fully Modified Least Squares Estimation and Inference for Systems of Cointegrating Polynomial Regressions

Wagner, Martin

[working paper]

dc.contributor.author	Wagner, Martin	de
dc.date.accessioned	2023-02-09T10:24:19Z
dc.date.available	2023-02-09T10:24:19Z
dc.date.issued	2023	de
dc.identifier.uri	https://www.ssoar.info/ssoar/handle/document/85110
dc.description.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 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.	de
dc.language	en	de
dc.subject.ddc	Sozialwissenschaften, Soziologie	de
dc.subject.ddc	Social sciences, sociology, anthropology	en
dc.subject.other	fully modified estimation; cointegrating polynomial regression; generalized least squares	de
dc.title	Fully Modified Least Squares Estimation and Inference for Systems of Cointegrating Polynomial Regressions	de
dc.description.review	begutachtet	de
dc.description.review	reviewed	en
dc.source.volume	44	de
dc.publisher.country	AUT	de
dc.publisher.city	Wien	de
dc.source.series	IHS Working Paper
dc.subject.classoz	Erhebungstechniken und Analysetechniken der Sozialwissenschaften	de
dc.subject.classoz	Methods and Techniques of Data Collection and Data Analysis, Statistical Methods, Computer Methods	en
dc.subject.thesoz	Schätzung	de
dc.subject.thesoz	estimation	en
dc.subject.thesoz	Regression	de
dc.subject.thesoz	regression	en
dc.subject.thesoz	Hypothesenprüfung	de
dc.subject.thesoz	hypothesis testing	en
dc.identifier.urn	urn:nbn:de:0168-ssoar-85110-7
dc.rights.licence	Creative Commons - Namensnennung 4.0	de
dc.rights.licence	Creative Commons - Attribution 4.0	en
ssoar.contributor.institution	IHS (Wien)	de
internal.status	formal und inhaltlich fertig erschlossen	de
internal.identifier.thesoz	10057146
internal.identifier.thesoz	10056459
internal.identifier.thesoz	10046973
dc.type.stock	monograph	de
dc.type.document	Arbeitspapier	de
dc.type.document	working paper	en
dc.source.pageinfo	13	de
internal.identifier.classoz	10105
internal.identifier.document	3
dc.contributor.corporateeditor	Institut für Höhere Studien (IHS), Wien
internal.identifier.corporateeditor	191
internal.identifier.ddc	300
dc.description.pubstatus	Veröffentlichungsversion	de
dc.description.pubstatus	Published Version	en
internal.identifier.licence	16
internal.identifier.pubstatus	1
internal.identifier.review	2
internal.identifier.series	1457
internal.pdf.valid	false
internal.pdf.wellformed	true
internal.pdf.encrypted	false

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Erhebungstechniken und Analysetechniken der Sozialwissenschaften
Methods and Techniques of Data Collection and Data Analysis, Statistical Methods, Computer Methods

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