DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER (Q4637611)

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scientific article; zbMATH DE number 6864294

Language	Label	Description	Also known as
English	DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER	scientific article; zbMATH DE number 6864294

Statements

scholarly article

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DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER (English)

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Giuseppe Cavaliere

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Luca De Angelis

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A. M. Robert Taylor

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Econometric Theory

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publication date

25 April 2018

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MaRDI profile type

MaRDI publication profile

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A new look at the statistical model identification

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SELECTING THE RANK OF THE COINTEGRATION SPACE AND THE FORM OF THE INTERCEPT USING AN INFORMATION CRITERION

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Inference on co-integration parameters in heteroskedastic vector autoregressions

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DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER

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COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY

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Testing for co-integration in vector autoregressions with non-stationary volatility

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Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models

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Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models

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Semiparametric cointegrating rank selection

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Cointegrating rank selection in models with time-varying variance

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Model selection in partially nonstationary vector autoregressive processes with reduced rank structure

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Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

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Tests for cointegration. A Monte Carlo comparison

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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

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A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model

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THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION

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Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order

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Cointegration tests with conditional heteroskedasticity.

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A lag augmentation test for the cointegrating rank of a VAR process

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ORDER DETERMINATION OF MULTIVARIATE AUTOREGRESSIVE TIME SERIES WITH UNIT ROOTS

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Structural analysis of vector error correction models with exogenous \(I(1)\) variables

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Econometric Model Determination

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An Asymtotic Theory of Bayesian Inference for Time Series

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Modeling by shortest data description

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Testing cointegration in infinite order vector autoregressive processes

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Estimating the dimension of a model

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Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models

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Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model

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Identifiers

zbMATH Open document ID

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10.1017/S0266466616000335

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:4637611

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