The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Asymptotic Normality, When Regressors Have a Unit Root
Abstract
Under fairly general conditions, ordinary least squares and linear instrumental variables estimators are asymptotically normal when a regression equation has nonstationary right hand side variables. Standard formulas may be used to calculate a consistent estimate of the asymptotic variance-covariance matrix of the estimated parameter vector, even if the disturbances are conditionally heteroskedastic and autocorrelated. So inference may proceed in the usual way. The key requirements are that the nonstationary variables share a common unit root and that the unconditional mean of their first differences is nonzero. Copyright 1988 by The Econometric Society.
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Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Cited by
Johansen, S., & Juselius, K. (1990) · Oxford Bulletin of Economics and Statistics · doi:10.1111/j.1468-0084.1990.mp52002003.x · Cited by 14,051
Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
Banerjee, A., Dolado, J. J., Galbraith, J. W., & Hendry, D. (1993) · doi:10.1093/0198288107.001.0001 · Cited by 1,752
Canonical Cointegrating Regressions
Park, J. Y. (1992) · Econometrica · doi:10.2307/2951679 · Cited by 1,374
Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots
Campbell, J. Y., & Perron, P. (1991) · NBER Macroeconomics Annual · doi:10.1086/654163 · Cited by 1,255
Banerjee, A., Dolado, J. J., Galbraith, J. W., & Hendry, D. F. (1993) · Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data · doi:10.1093/0198288107.003.0004 · Cited by 872
Metadata
- Authors
- West, K. D.
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1988-11
- Volume
- 56
- Issue
- 6
- Pages
- 1397
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W2079189629
- Cited by
- 335
- References
- 1
- FWCI
- 40.28
- Type
- journal article
- Language
- en
- Open access
- closed
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