Automated Estimation of Heavy-Tailed Vector Error Correction Models
From MaRDI portal
Cites work
- A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
- A specification test for nonlinear nonstationary models
- Adaptive Lasso for sparse high-dimensional regression models
- Asymptotic inference for AR models with heavy-tailed G-GARCH noises
- Asymptotics for Lasso-type estimators.
- Asymptotics for linear processes
- Automated estimation of vector error correction models
- Bootstrap testing of hypotheses on co-integration relations in vector autoregressive models
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Consistent and conservative model selection with the adaptive Lasso in stationary and nonstationary autoregressions
- Determination of vector error correction models in high dimensions
- Estimation for Partially Nonstationary Multivariate Autoregressive Models
- Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
- scientific article; zbMATH DE number 43570 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- Inference in heavy-tailed vector error correction models
- Lasso based variable selection of ARMA models
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Limit theory for moving averages of random variables with regularly varying tail probabilities
- Limit theory for the sample covariance and correlation functions of moving averages
- Model Selection and Estimation in Regression with Grouped Variables
- Multiple Time Series Regression with Integrated Processes
- Nested Reduced-Rank Autogressive Models for Multiple Time Series
- Oracle inequalities for high dimensional vector autoregressions
- Parameter estimation for ARMA models with infinite variance innovations
- Point processes, regular variation and weak convergence
- Probability
- Regression coefficient and autoregressive order shrinkage and selection via the lasso
- Regularized estimation in sparse high-dimensional time series models
- Statistical analysis of cointegration vectors
- Subset ARMA selection via the adaptive Lasso
- TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
- Tests for cointegration with infinite variance errors
- The Adaptive Lasso and Its Oracle Properties
- Variable selection for Cox's proportional hazards model and frailty model
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
- Weak limit theorems for stochastic integrals and stochastic differential equations
Cited in
(6)- Inference in heavy-tailed vector error correction models
- HAC ESTIMATION BY AUTOMATED REGRESSION
- Inference for the VEC(1) model with a heavy-tailed linear process errors*
- Inference on nonstationary heavy-tailed AR processes via model selection
- Statistical inference for heavy-tailed and partially nonstationary vector ARMA models
- Least squares and adaptive Lasso estimations of AR(p) models with unit roots and heavy-tailed noises
This page was built for publication: Automated Estimation of Heavy-Tailed Vector Error Correction Models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5041351)
