A fully modified GLS estimator for multivariate cointegrating polynomial regressions, using a banded modified Cholesky inverse-covariance estimator, is derived and shown to improve finite-sample estimation and inference.
(2) By Assumption 1, for any 1 ≤ k, i ≤ n, vkt and ηit are Near Epoch 24 Dependent in L4-norm on {[η ′ t , ε′ t]′} t∈Z of size −1 and arbitrary size, respectively
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Efficient Estimation by Fully Modified GLS with an Application to the Environmental Kuznets Curve
A fully modified GLS estimator for multivariate cointegrating polynomial regressions, using a banded modified Cholesky inverse-covariance estimator, is derived and shown to improve finite-sample estimation and inference.