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Fully Modified Least Squares in 1(2) Regression

Published online by Cambridge University Press:  11 February 2009

David Harris
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Type
Solutions
Information
Econometric Theory , Volume 12 , Issue 1 , March 1996 , pp. 201 - 204
Copyright
Copyright © Cambridge University Press 1996

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References

REFERENCES

Park, J.Y. & Phillips, P.C.B. (1989) Statistical inference in regressions with integrated processes: Part 2. Econometric Theory 5, 95–131.CrossRefGoogle Scholar
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Phillips, P.C.B. (1991b) Spectral regression for cointegrated time series. In Barnett, W. (ed.), Nonparametric and Semiparametric Methods in Econometrics and Statistics, pp. 413–435. Cambridge: Cambridge University Press.Google Scholar
Phillips, P.C.B. & Hansen, B.E. (1990) Statistical inference in instrumental variables regression with 1(1) processes. Review of Economic Studies 57, 99–125.CrossRefGoogle Scholar