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- W2042246284 abstract "We consider the estimation of a structural vector autoregressive model of nonstationary and possibly cointegrated variables without the prior knowledge of unit roots or rank of cointegration. We propose two modified two stage least squares estimators that are consistent and have limiting distributions that are either normal or mixed normal. Limited Monte Carlo studies are also conducted to evaluate their finite sample properties." @default.
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- W2042246284 date "2005-01-01" @default.
- W2042246284 modified "2023-09-26" @default.
- W2042246284 title "Modified Two Stage Least Squares Estimators for the Estimation of a Structural Vector Autoregressive Integrated Process" @default.
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- W2042246284 doi "https://doi.org/10.2139/ssrn.740405" @default.
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