DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION

By Mohitosh Kejriwal, Pierre Perron. Econometric Theory, 2008

48 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/b6b1026525f3ed50a0ad3138be2471909423d44c

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In Economics and Econometrics

1. Pierre Perron
2. Martin Wagner
3. Mohitosh Kejriwal
4. Timothy J. Vogelsang
5. Eiji Kurozumi
6. Kazuhiko Hayakawa
7. Ulrich K. Müller
8. Muhammad Shahbaz

Citations in the corpus

• Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors (2009, background): “[12] Kejriwal, M.”
• Integrated modified OLS estimation and fixed-b inference for cointegrating regressions (2014, background): “Fixed-b asymptotic theory has been put forward by Kiefer and Vogelsang (2005) in the context of stationary regressions to capture the impact of kernel and bandwidth choices on the sampling distributions of HAC-type test statistics.”
• The limit distribution of the estimates in cointegrated regression models with multiple structural changes (2008, result): “Except for the last condition, this assumption is the same as used in Kejriwal and Perron (2007) who showed that the results stated in Saikkonen (1991) under more restrictive conditions remain valid.”