AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS

DOI10.1017/S026646661500002XzbMath1441.62793OpenAlexW3121888605MaRDI QIDQ5255876

Peter C. B. Phillips, Zhipeng Liao

Publication date: 22 June 2015

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s026646661500002x

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (26)

Counterfactual Analysis With Artificial Controls: Inference, High Dimensions, and Nonstationarity ⋮ Automated Estimation of Heavy-Tailed Vector Error Correction Models ⋮ On LASSO for predictive regression ⋮ Forecasting cointegrated nonstationary time series with time-varying variance ⋮ Exponential squared loss based robust variable selection of AR models ⋮ Forecasting vector autoregressions with mixed roots in the vicinity of unity ⋮ Sparse vector error correction models with application to cointegration‐based trading ⋮ Inference for the VEC(1) model with a heavy-tailed linear process errors* ⋮ Shrinkage estimation of dynamic panel data models with interactive fixed effects ⋮ Predictive quantile regression with mixed roots and increasing dimensions: the ALQR approach ⋮ Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso ⋮ \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors ⋮ Multiple structural breaks in cointegrating regressions: a model selection approach ⋮ Buffered vector error-correction models: an application to the U.S. Treasury bond rates ⋮ Error-Correction Factor Models for High-dimensional Cointegrated Time Series ⋮ High-dimensional predictive regression in the presence of cointegration ⋮ Oracle inequalities for high dimensional vector autoregressions ⋮ Determination of vector error correction models in high dimensions ⋮ Combining \(p\)-values to test for multiple structural breaks in cointegrated regressions ⋮ Optimal estimation of cointegrated systems with irrelevant instruments ⋮ An Automated Approach Towards Sparse Single-Equation Cointegration Modelling ⋮ Inference in heavy-tailed vector error correction models ⋮ Estimation for double-nonlinear cointegration ⋮ On asymptotic risk of selecting models for possibly nonstationary time-series ⋮ Adaptive LASSO estimation for ARDL models with GARCH innovations ⋮ Reduced forms and weak instrumentation

Cites Work

• The Adaptive Lasso and Its Oracle Properties
• Sparse estimators and the oracle property, or the return of Hodges' estimator
• Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
• Regularized multivariate regression for identifying master predictors with application to integrative genomics study of breast cancer
• Statistical analysis of cointegration vectors
• Asymptotics for linear processes
• Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
• Impulse response and forecast error variance asymptotics in nonstationary VARs
• Reduced rank regression in cointegrated models.
• An alternative to unit root tests: bridge estimators differentiate between nonstationary versus stationary models and select optimal lag
• Least squares after model selection in high-dimensional sparse models
• Optimal Inference in Cointegrated Systems
• Semiparametric cointegrating rank selection
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Fully Modified Least Squares and Vector Autoregression
• Econometric Model Determination
• Model Selection and Estimation in Regression with Grouped Variables

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