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econ.EM2021
Sparse Generalized Yule-Walker Estimation for Large Spatio-temporal Autoregressions with an Application to NO2 Satellite Data
Hanno Reuvers, Etienne Wijler
We consider a high-dimensional model in which variables are observed over time and space. The model consists of a spatio-temporal regression containing a time lag and a spatial lag…
econ.EM2020★ 1 cited
Cointegrating Polynomial Regressions with Power Law Trends: Environmental Kuznets Curve or Omitted Time Effects?
Yicong Lin, Hanno Reuvers
The environmental Kuznets curve predicts an inverted U-shaped relationship between environmental pollution and economic growth. Current analyses frequently employ models which rest…
econ.EM2019★ 1 cited
Efficient Estimation by Fully Modified GLS with an Application to the Environmental Kuznets Curve
Yicong Lin, Hanno Reuvers
This paper develops the asymptotic theory of a Fully Modified Generalized Least Squares estimator for multivariate cointegrating polynomial regressions. Such regressions allow for…