Chapter

Asymptotic Inference Theories on Co‐Integrated Regressions <sup>*</sup>

Michio Hatanaka

in Time-Series-Based Econometrics

Published in print January 1996 | ISBN: 9780198773535
Published online November 2003 | e-ISBN: 9780191596360 | DOI: http://dx.doi.org/10.1093/0198773536.003.0013

Series: Advanced Texts in Econometrics

 Asymptotic Inference Theories on Co‐Integrated Regressions  *

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This chapter analyses co-integrated regressions. It considers the cases where Δxt is i.i.d without a drift, Δxt is still i.i.d. but has a deterministic drift, and Δxt is serially correlated. It discusses testing for co-integration, and co-integrated regression models’ assumption of some basic aspect of the co-integration space called the location of non-singular submatrices in B’.

Keywords: co-integration regressions; asymptotic theories; drift; regression models

Chapter.  24299 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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