Cointegration analysis in the presence of outliers
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Publication:3156196
DOI10.1111/J.1368-423X.2004.00130.XzbMath1053.62102OpenAlexW3124148383MaRDI QIDQ3156196
Publication date: 6 January 2005
Published in: The Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1368-423x.2004.00130.x
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)
Related Items (8)
The cointegrated vector autoregressive model with general deterministic terms ⋮ The forward search interactive outlier detection in cointegrated VAR analysis ⋮ Influential observations in cointegrated VAR models: Danish money demand 1973–2003 ⋮ Testing hypotheses in an \(I(2)\) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate ⋮ Malthus in cointegration space: evidence of a post-Malthusian pre-industrial England ⋮ Testing Cointegrating Relationships Using Irregular and Non‐Contemporaneous Series with an Application to Paleoclimate Data ⋮ ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS ⋮ The buffer stock model redux? An analysis of the dynamics of foreign reserve accumulation
Uses Software
Cites Work
- Missing observations in ARIMA models: Skipping approach versus additive outlier approach
- Outlier robust analysis of long-run marketing effects for weekly scanning data
- A distance measure between cointegration spaces
- Classical and Bayesian aspects of robust unit root inference
- Cointegration analysis in the presence of structural breaks in the deterministic trend
- Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process
- Two Simple Procedures for Testing for a Unit Root When There are Additive Outliers
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