Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process

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	Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process
	Hsiao, Cheng ; Wang, Slyan ; Xiao Z(萧政)
刊名	http://dx.doi.org/10.1016/j.jeconom.2005.07.019
	2006
关键词	COINTEGRATION VECTORS MODELS INFERENCE
英文摘要	We consider the estimation of a structural vector autoregressive model of nonstationary and possibly cointegrated variables without the prior knowledge of unit roots or rank of cointegration. We propose two modified two-stage least-squares estimators that are consistent and have limiting distributions that are either normal or mixed normal. Limited Monte Carlo studies are also conducted to evaluate their finite sample properties. (c) 2005 Elsevier B.V. All rights reserved.
语种	英语
出版者	J ECONOMETRICS
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/91512]
专题	王亚南院－已发表论文
推荐引用方式 GB/T 7714	Hsiao, Cheng,Wang, Slyan,Xiao Z. Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process[J]. http://dx.doi.org/10.1016/j.jeconom.2005.07.019,2006.
APA	Hsiao, Cheng,Wang, Slyan,&萧政.(2006).Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process.http://dx.doi.org/10.1016/j.jeconom.2005.07.019.
MLA	Hsiao, Cheng,et al."Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process".http://dx.doi.org/10.1016/j.jeconom.2005.07.019 (2006).