Alternative Estimators of Cointegrating Parameters in Models With Non-Stationary Data: An Application to US Export Demand
نویسندگان
چکیده
منابع مشابه
Instrumental variables estimation of stationary and non-stationary cointegrating regressions
Instrumental variables estimation is classically employed to avoid simultaneous equations bias in a stable environment. Here we use it to improve upon ordinary least-squares estimation of cointegrating regressions between non-stationary and/or long memory stationary variables where the integration orders of regressor and disturbance sum to less than 1, as happens always for stationary regressor...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2009
ISSN: 1556-5068
DOI: 10.2139/ssrn.1443102