Integrated Modified Least Squares Estimation and (Fixed-b) Inference for Systems of Cointegrating Multivariate Polynomial Regressions

Veldhuis, Sebastian and Wagner, MartinORCID: https://orcid.org/0000-0002-6123-4797 (May 2024) Integrated Modified Least Squares Estimation and (Fixed-b) Inference for Systems of Cointegrating Multivariate Polynomial Regressions. IHS Working Paper Series 54, 16 p.

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Abstract

We consider integrated modified least squares estimation for systems of cointegrating multivariate polynomial regressions,
i. e., systems of regressions that include deterministic variables, integrated processes and products of these variables as regressors. The errors are allowed to be correlated across equations, over time and with the regressors. Since, under restrictions on the parameters or in case of non-identical regressors across equations, integrated modified OLS and GLS estimation do not, in general, coincide, we discuss in detail restricted integrated generalized least squares estimators and inference based upon them. Furthermore, we develop asymptotically pivotal fixed-b inference, available only in case of full design and for specific hypotheses.

Item Type: IHS Series
Keywords: Integrated modified estimation, cointegrating multivariate polynomial regression, fixed-b inference, generalized least squares
Funders: Jubiläumsfonds (OeNB)
Classification Codes (e.g. JEL): C12, C13, C32
Research Units: Current Research Groups > Macroeconomics and Business Cycles
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Date Deposited: 10 May 2024 08:35
Last Modified: 10 May 2024 08:45
URI: https://irihs.ihs.ac.at/id/eprint/6976

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