101 KB607 KB59 KB2024Veldhuis, SebastianWagner, Martin1 spletni vir (1 datoteka PDF (25 str.))COBISSID:219690499ISBN:978-961-7230-11-6URN:URN:NBN:SI:doc-2PJ9FYV6enBanka SlovenijeknjigeIntegrated modified least squares estimation and (fixed-b) inference for systems of cointegrating multivariate polynomial regressions|We consider integrated modified ordinary and generalized least squares estimation for systems of cointegrating multivariate polynomial regressions, i. e., systems of regressions that include deterministic variables, integrated processes and products of non-negative integer powers of these variables as regressors. The stationary errors are allowed to be correlated across equations, over time and with the regressors. The necessity to consider integrated modified generalized least squares estimation arises in case of estimation under restrictions, which in general implies that ordinary and generalized least squares estimators cease to be identical. We discuss in detail hypothesis testing for the unrestricted and restricted estimators. Furthermore, we develop asymptotically pivotal fixed-b inference, which is shown to be available only in the case of full design for up-to-the-intercept-identical hypotheses tested in all equations in systems with identical regressors in all equationsTEXTknjigebooksSlovenian National E-content AggregatorNational and University Library of Slovenia