AUTOMATIC INFERENCE FOR INFINITE ORDER VECTOR AUTOREGRESSIONS (Q5697626): Difference between revisions

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+Prediction of multivariate time series by autoregressive model fitting
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+Choosing the Number of Instruments
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+Consistent autoregressive spectral estimates
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+Alternative Approximations to the Distributions of Instrumental Variable Estimators
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+An optimal autoregressive spectral estimate
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+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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+Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
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+Autocorrelation, autoregression and autoregressive approximation
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+Asymptotic properties of maximum likelihood estimators based on conditional specification
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+Power spectrum estimation through autoregressive model fitting
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+Asymptotic Theory and Large Models
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+The Influence of VAR Dimensions on Estimator Biases
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+Testing cointegration in infinite order vector autoregressive processes
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+Q3750860
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+Multivariate linear time series models
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+Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
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+Some recent advances in time series modeling
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+Bootstrapping autoregressive and moving average parameter estimates of infinite order vector autoregressive processes
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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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+Impulse response analysis in infinite order cointegrated vector autoregressive processes
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