AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS (Q5255876): Difference between revisions

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+Fully Modified Least Squares and Vector Autoregression
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+Econometric Model Determination
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+Optimal Inference in Cointegrated Systems
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+Sparse estimators and the oracle property, or the return of Hodges' estimator
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+Semiparametric cointegrating rank selection
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+Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
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+Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
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+Statistical analysis of cointegration vectors
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+An alternative to unit root tests: bridge estimators differentiate between nonstationary versus stationary models and select optimal lag
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+Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
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+Reduced rank regression in cointegrated models.
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+The Adaptive Lasso and Its Oracle Properties
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+Asymptotics for linear processes
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+Impulse response and forecast error variance asymptotics in nonstationary VARs
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+https://doi.org/10.1017/s026646661500002x
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+W3121888605
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+Publication:5255876