Hostname: page-component-848d4c4894-8bljj Total loading time: 0 Render date: 2024-06-13T11:15:09.307Z Has data issue: false hasContentIssue false
  • English
  • Français

Optimal Structural Estimation of Triangular Systems: II. The Nonstationary Case

Published online by Cambridge University Press:  11 February 2009

Peter C.B. Phillips ,
Juan J. Dolado  and
H. Peter Boswijk
Get access Rights & Permissions [Opens in a new window]

Abstract

An abstract is not available for this content so a preview has been provided. Please use the Get access link above for information on how to access this content.
Image of the first page of this content. For PDF version, please use the ‘Save PDF’ preceeding this image.'
Type
Other
Information
Econometric Theory , Volume 7 , Issue 4 , December 1991 , pp. 549 - 558
Copyright
Copyright © Cambridge University Press 1991

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES (FOR SOLUTIONS 1 AND 2)

1.Rothenberg, T. Efficient Estimation with a priori Information New Haven: Yale University Press, 1973.Google Scholar
2.Phillips, P.C.B. Multiple regression with integrated processes. In Prabhu, N.U. (ed.), Statistical Inference from Stochastic Processes, Contemporary Mathematics, Vol. 80 Providence: American Mathematical Society, 1988.Google Scholar
3.Phillips, P.C.B. Partially identified econometric models. Econometric Theory 5 (1989): 181–240.10.1017/S0266466600012408Google Scholar
4.Phillips, P.C.B. Time series regression with a unit root. Econometrica 55 (1987): 277–301.10.2307/1913237CrossRefGoogle Scholar
5.Phillips, P.C.B. Optimal inference in cointegrated systems, Cowles Foundation Discussion Paper No. 866, 1988.Google Scholar
6.Phillips, P.C.B. & Loretan, M.. Estimating long-run economic equilibria, Cowles Foundation Discussion Paper No. 928, 1989.Google Scholar
7.Fieller, E.C. The distribution of the index in a normal bivariate population. Biometrika 24 (1932): 428–440.10.1093/biomet/24.3-4.428CrossRefGoogle Scholar
8.Park, J.Y. & Phillips, P.C.B.. Statistical inference in regressions with integrated processes: Part 1. Econometric Theory 4 (1988): 468–498.10.1017/S0266466600013402Google Scholar
1.Sims, C.A., Stock, J.H. & Watson, M.W.. Inference in linear time models with some unit roots. Econometrica 58 (1990): 113–144.10.2307/2938337CrossRefGoogle Scholar
2.Park, J.Y. & Phillips, P.C.B.. Statistical inference in regressions with integrated processes. Part 1. Econometric Theory 4 (1988): 468–497.10.1017/S0266466600013402Google Scholar
3.Phillips, P.C.B. & Hansen, B.E.. Statistical inference in instrumental variables regression with I(1) processes. Review of Economic Studies 53 (1990): 473–496.10.2307/2297602CrossRefGoogle Scholar
1.Phillips, P.C.B. Optimal inference in cointegrated systems, Econometrica (1990), forthcoming.Google Scholar
2.Phillips, P.C.B. & Hansen, B.E.. Statistical inference in instrumental variable regression with I( I ) processes. Review of Economic Studies 57 (1990): 99–125.10.2307/2297545Google Scholar