Semiparametric cointegrating rank selection (Q3406055): Difference between revisions

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+MaRDI publication profile
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+Q5475042
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+Normal rank
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+Unit Root Tests under Time-Varying Variances
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+Testing for unit roots in time series models with non-stationary volatility
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+Q4195812
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+Statistical analysis of cointegration vectors
@@ Property / cites work: Statistical analysis of cointegration vectors / rank @@
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+Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
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+THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION
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+Optimal Inference in Cointegrated Systems
@@ Property / cites work: Optimal Inference in Cointegrated Systems / rank @@
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+Fully Modified Least Squares and Vector Autoregression
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+Econometric Model Determination
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+New Tools for Understanding Spurious Regressions
@@ Property / cites work: New Tools for Understanding Spurious Regressions / rank @@
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+Challenges of trending time series econometrics
@@ Property / cites work: Challenges of trending time series econometrics / rank @@
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+An Asymtotic Theory of Bayesian Inference for Time Series
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+Asymptotics for linear processes
@@ Property / cites work: Asymptotics for linear processes / rank @@
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+Model selection under nonstationarity: Autoregressive models and stochastic linear regression models
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+Modeling by shortest data description
@@ Property / cites work: Modeling by shortest data description / rank @@
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+Estimating the dimension of a model
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+Order selection in nonstationary autoregressive models
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+On predictive least squares principles
@@ Property / cites work: On predictive least squares principles / rank @@
+Normal rank