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Local-to-Spurious Regression

Published online by Cambridge University Press:  11 February 2009

Jonathan Wright
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Abstract

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Type
Problems
Information
Econometric Theory , Volume 12 , Issue 3 , August 1996 , pp. 585 - 586
Copyright
Copyright © Cambridge University Press 1996

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References

REFERENCES

Johansen, S. (1988) Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control 12, 231–254.CrossRefGoogle Scholar
Phillips, P.C.B. (1994) Some exact distribution theory for maximum likelihood estimators of cointegration coefficients in error correction models. Econometrica 62, 73–93.CrossRefGoogle Scholar
Saikkonen, P. (1991) Asymptotically efficient estimation of cointegrating regressions. Econometric Theory 7, 1–21.CrossRefGoogle Scholar