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      <record key="001" att1="001" value="182194" att2="182194">001   182194</record>
      <field key="037" subkey="x">englisch</field>
      <field key="050" subkey="x">Forschungsbericht</field>
      <field key="076" subkey="">Ökonomie</field>
      <field key="079" subkey="y">http://www.ihs.ac.at/publications/eco/es-263.pdf</field>
      <field key="079" subkey="z">Vogelsang, Timothy J. - et al., Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Regressions (pdf)</field>
      <field key="079" subkey="y">http://ideas.repec.org/p/ihs/ihsesp/263.html</field>
      <field key="079" subkey="z">Institute for Advanced Studies. Economics Series; 263 (RePEc)</field>
      <field key="100" subkey="">Vogelsang, Timothy J.</field>
      <field key="103" subkey="">Department of Economics, Michigan State University, East Lansing, USA</field>
      <field key="104" subkey="a">Wagner, Martin</field>
      <field key="107" subkey="">Department of Economics and Finance, Institute for Advanced Studies, Vienna, Austria</field>
      <field key="331" subkey="">Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Regressions</field>
      <field key="403" subkey="">1. Ed.</field>
      <field key="410" subkey="">Wien</field>
      <field key="412" subkey="">Institut für Höhere Studien</field>
      <field key="425" subkey="">2011, January</field>
      <field key="433" subkey="">43 pp.</field>
      <field key="451" subkey="">Institut für Höhere Studien; Reihe Ökonomie; 263</field>
      <field key="451" subkey="h">Kunst, Robert M. (Ed.) ; Fisher, Walter (Assoc. Ed.) ; Ritzberger, Klaus (Assoc. Ed.)</field>
      <field key="461" subkey="">Economics Series</field>
      <field key="517" subkey="c">from the Table of Contents: Introduction; FM-OLS Estimation and Inference in Cointegrating Regressions; The Integrated Modified</field>
      <field key="OLS" subkey="">Estimator; Finite Sample Bias and Root Mean Squared Error; Inference Using IM-OLS; Finite Sample Performance of Test</field>
      <field key="Sta" subkey="t">istics; Summary and Conclusions; References; Appendix: Proofs; Tables 1-3; Figures 1-16;</field>
      <field key="542" subkey="">1605-7996</field>
      <field key="544" subkey="">IHSES 263</field>
      <field key="700" subkey="">C31</field>
      <field key="700" subkey="">C32</field>
      <field key="720" subkey="">Bandwidth</field>
      <field key="720" subkey="">Cointegration</field>
      <field key="720" subkey="">Fixed-b asymptotics</field>
      <field key="720" subkey="">Fully Modified OLS</field>
      <field key="720" subkey="">IM-OLS</field>
      <field key="720" subkey="">Kernel</field>
      <field key="753" subkey="">Abstract: This paper is concerned with parameter estimation and inference in a cointegrating regression, where as usual</field>
      <field key="end" subkey="o">genous regressors as well as serially correlated errors are considered. We propose a simple, new estimation method based on</field>
      <field key="an" subkey="a">ugmented partial sum (integration) transformation of the regression model. The new estimator is labeled Integrated Modified</field>
      <field key="Ord" subkey="i">nary Least Squares (IM-OLS). IM-OLS is similar in spirit to the fully modified approach of Phillips and Hansen (1990) with</field>
      <field key="the" subkey="">key difference that IM-OLS does not require estimation of long run variance matrices and avoids the need to choose tuning</field>
      <field key="par" subkey="a">meters (kernels, bandwidths, lags). Inference does require that a long run variance be scaled out, and we propose traditional</field>
      <field key="and" subkey="">fixed-b methods for obtaining critical values for test statistics. The properties of IM-OLS are analyzed using asymptotic</field>
      <field key="the" subkey="o">ry and finite sample simulations. IM-OLS performs well relative to other approaches in the literature.;</field>
    </SEQUENTIAL>
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