Alternative Asymptotics for Cointegration Tests in Large VARs (Q4682715): Difference between revisions
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Latest revision as of 10:00, 30 July 2024
scientific article; zbMATH DE number 6938932
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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