Alternative Asymptotics for Cointegration Tests in Large VARs (Q4682715): Difference between revisions

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scientific article; zbMATH DE number 6938932
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Alternative Asymptotics for Cointegration Tests in Large VARs
scientific article; zbMATH DE number 6938932

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    Alternative Asymptotics for Cointegration Tests in Large VARs (English)
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    19 September 2018
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    high-dimensional VAR
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    cointegration tests
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    canonical correlations
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    empirical distribution
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    Wachter distribution
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    vector autoregression
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    Johansen's test
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