A MODIFIED INFORMATION CRITERION FOR COINTEGRATION TESTS BASED ON A VAR APPROXIMATION (Q2886962): Difference between revisions

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+Impulse response analysis in infinite order cointegrated vector autoregressive processes
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+Local asymptotic distribution related to the AR(1) model with dependent errors
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+Estimating the dimension of a model
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+Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
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+Testing cointegration in infinite order vector autoregressive processes
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+ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
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+Unifying the derivations for the Akaike and corrected Akaike information criteria.
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+Testing for unit roots in autoregressive-moving average models of unknown order
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+Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
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+A new look at the statistical model identification
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+Model selection under nonstationarity: Autoregressive models and stochastic linear regression models
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+Asymptotics for linear processes
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+Estimation for Partially Nonstationary Multivariate Autoregressive Models
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+Econometric Model Determination
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+Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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+Statistical analysis of cointegration vectors
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+Regression and time series model selection in small samples
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+Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model
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+On predictive least squares principles
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+Co-Integration and Error Correction: Representation, Estimation, and Testing
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+Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
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+Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
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+LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
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+Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
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+Prediction of multivariate time series by autoregressive model fitting
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+Publication:2886962