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Fully Modified Least Squares in 1(2) Regression

Published online by Cambridge University Press:  11 February 2009

Abstract

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Copyright
Copyright © Cambridge University Press 1996

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References

REFERENCES

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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. 413435. 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, 99125.CrossRefGoogle Scholar