Statistical inference in vector autoregressions with possibly integrated processes (Q1347103): Difference between revisions

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+https://doi.org/10.1016/0304-4076(94)01616-8
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+W2078213728
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+Q5631966
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+Limiting distributions of least squares estimates of unstable autoregressive processes
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+Distribution of the Estimators for Autoregressive Time Series With a Unit Root
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+Q4124141
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+Statistical analysis of cointegration vectors
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+Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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+Canonical Cointegrating Regressions
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+Time Series Regression with a Unit Root
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+Asymptotic Properties of Residual Based Tests for Cointegration
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+Testing for a unit root in time series regression
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+Comparisons of tests for multivariate cointegration
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+Inference in Linear Time Series Models with some Unit Roots
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+Testing for Common Trends
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+Vector Autoregressions and Causality
@@ Property / cites work: Vector Autoregressions and Causality / rank @@
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+The spurious effect of unit roots on vector autoregressions. An analytical study
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