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date: 24 October 2020

Abstract and Keywords

Widely used modified least squares estimators for estimation and inference in cointegrating regressions are discussed. The standard case with cointegration in the I(1) setting is examined and some relevant extensions are sketched. These include cointegration analysis with panel data as well as nonlinear cointegrating relationships. Extensions to higher order (co)integration, seasonal (co)integration and fractional (co)integration are very briefly mentioned. Recent developments and some avenues for future research are discussed.

Keywords: cointegration, endogeneity, modified least squares, nonlinearity, panel data, super-consistency

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