Estimation for Partially Nonstationary Multivariate Autoregressive Models
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Monte Carlo samplingrootsautoregressive modelerror correction modelsJordan canonical formunit circlefinite sample propertiesco-integrationnonstationary vector autoregressive processtwo-step reduced rank estimation procedureGaussian partial reduced rank estimation procedureleast squares parameter estimators
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Cited in
(87)- Reduced rank regression in cointegrated models.
- Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
- BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION
- Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes
- Testing the Cointegrating Rank with Uncorrelated but Dependent Errors
- A likelihood based estimator for vector autoregressive processes
- Exact maximum likelihood estimation of partially nonstationary vector ARMA models
- ADMISSIBLE AND NONADMISSIBLE TESTS IN UNIT-ROOT-LIKE SITUATIONS
- THE ASYMPTOTIC EFFICIENCY OF COINTEGRATION ESTIMATORS UNDER TEMPORAL AGGREGATION
- Alternative representation for asymptotic distributions of impulse responses in cointegrated VAR systems
- Tests against stationary and explosive alternatives in vector autoregressive models
- Estimation of partially nonstationary vector autoregressive models with seasonal behavior
- Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships
- VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
- The role of the constant and linear terms in cointegration analysis of nonstationary variables
- Determination of vector error correction models in high dimensions
- Large Spillover Networks of Nonstationary Systems
- Residual autocorrelation testing for vector error correction models
- Dynamic Adjustment when the Target is Nonstationary
- Automated Estimation of Heavy-Tailed Vector Error Correction Models
- Statistical inference on cointegration rank in error correction models with stationary covariates
- A long-run pure variance common features model for the common volatilities of the Dow Jones
- Analysis of cointegrated models with measurement errors
- Efficient estimation and inference in cointegrating regressions with structural change
- Tests for cointegration. A Monte Carlo comparison
- Impulse response and forecast error variance asymptotics in nonstationary VARs
- Stability tests in error correction models
- Testing cointegrating coefficients in vector autoregressive error correction models
- A distance measure between cointegration spaces
- A small sample correction for tests of hypotheses on the cointegrating vectors
- Estimation of error correction model with measurement errors
- Estimation of cointegrated models with exogenous variables
- Consistency and asymptotic normality of M-estimates of scatter on Grassmann manifolds
- Analysis of cointegration vectors using the GMM approach
- System estimators of cointegrating matrix in absence of normalising information
- INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES
- Generalized method of moments estimation for cointegrated vector autoregressive models
- Structural analysis of vector error correction models with exogenous \(I(1)\) variables
- Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration
- A New Class of Bivariate Threshold Cointegration Models
- Inference in heavy-tailed vector error correction models
- Partial autocorrelation parameterization for subset autoregression
- Who's afraid of reduced-rank parameterizations of multivariate models? Theory and example
- Regression-based analysis of cointegration systems
- Pitfalls in testing for long run relationships
- Impulse response analysis in infinite order cointegrated vector autoregressive processes
- Bootstrap and fast double bootstrap tests of cointegration rank with financial time series
- On the power transformation of kernel-based tests for serial correlation in vector time series: some finite sample results and a comparison with the bootstrap
- Five alternative methods of estimating long-run equilibrium relationships
- Diagnostic checking for partially nonstationary multivariate ARMA models
- Improved likelihood ratio tests for cointegration rank in the VAR model
- Inference for the VEC(1) model with a heavy-tailed linear process errors*
- Inference in Heavy-Tailed Nonstationary Multivariate Time Series
- Modeling US housing prices by spatial dynamic structural equation models
- An embedded model estimator for non-stationary random functions using multiple secondary variables
- Random autoregressive models: a structured overview
- The sampling properties of conditional independence graphs forI(1) structural VAR models
- Consistent testing for non‐correlation of two cointegrated ARMA time series
- Testing for serial correlation of unknown form in cointegrated time series models
- A MONTE CARLO STUDY ON THE SELECTION OF COINTEGRATING RANK USING INFORMATION CRITERIA
- A comparison of some common methods for detecting Granger noncausality
- On limiting spectral distribution of large sample covariance matrices by VARMA(p,q)
- Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity
- A modified information criterion for cointegration tests based on a VAR approximation
- Estimation of vector error correction models with mixed-frequency data
- Reduced-rank regression: a useful determinant identity
- Estimation of parameters and eigenmodes of multivariate autoregressive models
- Testing exact rational expectations in cointegrated vector autoregressive models
- Granger causality, exogeneity, cointegration, and economic policy analysis
- A common framework for estimating multivariate autoregressive index models
- scientific article; zbMATH DE number 562294 (Why is no real title available?)
- Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods
- On causal and non-causal cointegrated vector autoregressive time series
- Estimating multiple breaks in nonstationary autoregressive models
- Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
- Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling
- Adaptive estimation of cointegrating regressions with ARMA errors
- Test for cointegration based on two-stage least squares
- Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity
- ON THE IDENTIFICATION AND ESTIMATION OF NONSTATIONARY AND COINTEGRATED ARMAX SYSTEMS
- Buffered vector error-correction models: an application to the U.S. Treasury bond rates
- Estimating systems of trending variables
- Statistical inference for heavy-tailed and partially nonstationary vector ARMA models
- A Parametric approach to the Estimation of Cointegration Vectors in Panel Data
- Joint modeling of cointegration and conditional heteroscedasticity with applications
- On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing
- Exact maximum likelihood estimation of structured or unit root multivariate time series models
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