arXiv 7 Aug 2019 · Econometrics · 2 citations (OpenAlex)
arXiv:1908.02552 · PDF · DOI · OpenAlex · Extracted main text
This paper develops the asymptotic theory of a Fully Modified Generalized Least Squares estimator for multivariate cointegrating polynomial regressions. Such regressions allow for deterministic trends, stochastic trends and integer powers of stochastic trends to enter the cointegrating relations. Our fully modified estimator incorporates: (1) the direct estimation of the inverse autocovariance matrix of the multidimensional errors, and (2) second order bias corrections. The resulting estimator has the intuitive interpretation of applying a weighted least squares objective function to filtered data series. Moreover, the required second order bias corrections are convenient byproducts of our approach and lead to standard asymptotic inference. We also study several multivariate KPSS-type of tests for the null of cointegration. A comprehensive simulation study shows good performance of the FM-GLS estimator and the related tests. As a practical illustration, we reinvestigate the Environmental Kuznets Curve (EKC) hypothesis for six early industrialized countries as in Wagner et al. (2020).
appendix boundary found by appendix_command · 65% of the source is main text. Read the extracted text to check this.
The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Choi, I. and P. Saikkonen (2010) Tests for nonlinear cointegration | 1.000 | 6 | 3 | 100% |
| 2 | Wagner, M. and S. H. Hong (2016) Cointegrating polynomial regressions: Fully modified OLS estimation and inference | 0.894 | 7 | 3 | 71% |
| 3 | Wagner, M., P. Grabarczyk, and S. H. Hong (2020) Fully modified OLS estimation and inference for seemingly unrelated cointegrating polynomial regressions and the environmental K… | 0.879 | 25 | 7 | 68% |
| 4 | Andrews, D. W. K (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation | 0.644 | 2 | 2 | 100% |
| Ing | unmatched citation key Ing | 0.585 | 3 | 1 | 100% |
| Phillips | unmatched citation key Phillips | 0.585 | 3 | 1 | 100% |
| 7 | Cheng, T.-C. F., C.-K. Ing, and S.-H. Yu (2015) Toward optimal model averaging in regression models with time series errors | 0.511 | 2 | 2 | 50% |
| 8 | Hannan, E. and M. Deistler (2012) The Statistical Theory of Linear Systems | 0.511 | 2 | 2 | 50% |
| 9 | Phillips, P. C. B. and J. Y. Park (1988) Asymptotic equivalence of ordinary least squares and generalized least squares in regressions with integrated regressors | 0.511 | 2 | 2 | 50% |
| Chiou | unmatched citation key Chiou | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 127 scored citations. 3 of these could not be matched to a bibliography entry, so only the citation key is shown.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Cointegrating Polynomial Regressions with Power Law Trends: Environmental Kuznets Curve or Omitted Time Effects? | 0.843 | 3 | 3 |