Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/296250 
Year of Publication: 
2024
Series/Report no.: 
IHS Working Paper No. 54
Publisher: 
Institut für Höhere Studien - Institute for Advanced Studies (IHS), Vienna
Abstract: 
We consider integrated modified least squares estimation for systems of cointegrating multivariate polynomial regressions, i. e., systems of regressions that include deterministic variables, integrated processes and products of these variables as regressors. The errors are allowed to be correlated across equations, over time and with the regressors. Since, under restrictions on the parameters or in case of nonidentical regressors across equations, integrated modified OLS and GLS estimation do not, in general, coincide, we discuss in detail restricted integrated generalized least squares estimators and inference based upon them. Furthermore, we develop asymptotically pivotal fixed-b inference, available only in case of full design and for specific hypotheses.
Subjects: 
Integrated modified estimation
cointegrating multivariate polynomial regression
fixed-b inference
generalized least squares
JEL: 
C12
C13
C32
Creative Commons License: 
cc-by Logo
Document Type: 
Working Paper

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