Inference on the Cointegration Rank and a Procedure for VARMA Root-Modification

DOI10.14490/JJSS.36.149MaRDI QIDQ3442921zbMATH OpenOpenAlexFDO

Authors Taro Takimoto, Yuzo Hosoya

Publication date 24 May 2007

Published in JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL https://doi.org/10.14490/jjss.36.149

zbMATH Keywords

cointegration rank testinvertibilityJordan canonical formstationarityWhittle estimator

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Cointegration rank inference with stationary regressors in VAR models
• Improved likelihood ratio tests for cointegration rank in the VAR model
• Determining the cointegration rank in heteroskedastic VAR models of unknown order
• Statistical inference on cointegration rank in error correction models with stationary covariates
• TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT
• Cointegrating rank selection in models with time-varying variance
• The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model

Cited in

(1)

• A numerical method for factorizing the rational spectral density matrix

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