Estimation and Inference for Cointegrating Regressions
- Martin WagnerMartin WagnerFaculty of Statistics, Technical University of Dortmund; Bank of Slovenia, Ljubljana; Institute for Advanced Studies, Vienna
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.