Statistical Inference in Instrumental Variables Regression with I(1) Processes
- 1 January 1990
- journal article
- Published by Oxford University Press (OUP) in The Review of Economic Studies
- Vol. 57 (1) , 99-125
- https://doi.org/10.2307/2297545
Abstract
This paper studies the asymptotic properties of instrumental variable (IV) estimates of multivariate cointegrating regressions and allows for determiKeywords
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