Mark W. Watson
1 paper in the Anchorcite directory, published in 1993, cited 5,057 times in total.
ORCID profileResearch topics
- Monetary Policy and Economic Impact · 1 paper
- Market Dynamics and Volatility · 1 paper
- Economic Theory and Policy · 1 paper
Frequent co-authors
- James H. Stock · 1 paper
Papers
- A Simple Estimator of Cointegrating Vectors in Higher Order Integrated SystemsEconometrica · 1993 · 5,057 citations
Efficient estimators of cointegrating vectors are presented for systems involving deterministic components and variables of differing, higher orders of integration. The estimators are computed using GLS or OLS, and Wald statistics constructed from these estimators have asymptotic x [superscript] 2…
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