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Fully Modified Least Squares in I(2) Regression

Published online by Cambridge University Press:  11 February 2009

Peter C.B. Phillips  and
Yoosoon Chang
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Abstract

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Type
Problems
Information
Econometric Theory , Volume 10 , Issue 5 , December 1994 , pp. 967
Copyright
Copyright © Cambridge University Press 1994

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References

1Phillips, P.C.B. & Hansen, B.E.. Statistical inference in instrumental variable regressions with I(1) processes. Review of Economic Studies 57 (1990): 99–125.CrossRefGoogle Scholar