Inference in heavy-tailed vector error correction models
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Cites work
- A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
- A specification test for nonlinear nonstationary models
- Asymptotic inference for AR models with heavy-tailed G-GARCH noises
- Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series
- Automated Estimation of Heavy-Tailed Vector Error Correction Models
- 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
- Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model
- Estimation for Partially Nonstationary Multivariate Autoregressive Models
- Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- 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
- Limiting distributions of least squares estimates of unstable autoregressive processes
- M-estimation for autoregression with infinite variance
- MARTINGALE LIMIT THEOREM REVISITED AND NONLINEAR COINTEGRATING REGRESSION
- Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
- Model identification for infinite variance autoregressive processes
- Multiple Time Series Regression with Integrated Processes
- Nested Reduced-Rank Autogressive Models for Multiple Time Series
- Parameter estimation for ARMA models with infinite variance innovations
- Parameter estimation for infinite variance fractional ARIMA
- Point processes, regular variation and weak convergence
- TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
- Tests for cointegration with infinite variance errors
- The sample autocorrelations of heavy-tailed processes with applications to ARCH
- Time series: theory and methods.
- 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
(10)- Specification via model selection in vector error correction models
- Vector attenuation bias in the classical errors-in-variables model
- Whittle parameter estimation for vector ARMA models with heavy-tailed noises
- Automated Estimation of Heavy-Tailed Vector Error Correction Models
- Tests of Unit Root Hypothesis With Heavy-Tailed Heteroscedastic Noises
- Inference for the VEC(1) model with a heavy-tailed linear process errors*
- On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing
- Inference in Heavy-Tailed Nonstationary Multivariate Time Series
- 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
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