Instrumental variables estimation of stationary and non‐stationary cointegrating regressions
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: The Econometrics Journal
سال: 2006
ISSN: 1368-4221,1368-423X
DOI: 10.1111/j.1368-423x.2006.00186.x