Cointegration in large VARs (Q2148991)

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Language	Label	Description	Also known as
English	Cointegration in large VARs	scientific article

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scholarly article

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Cointegration in large VARs (English)

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Anna Bykhovskaya

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The Annals of Statistics

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publication date

24 June 2022

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full work available at URL

https://arxiv.org/abs/2006.14179

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zbMATH Keywords

vector autoregressive process (VAR)

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cointegration

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high-dimensional VAR

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Jacobi ensemble

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Johansen test

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MaRDI profile type

MaRDI publication profile

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Spectral analysis of large dimensional random matrices

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Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices

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Central limit theorem for partial linear eigenvalue statistics of Wigner matrices

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Canonical correlation coefficients of high-dimensional Gaussian vectors: finite rank case

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Large deviations for Wigner's law and Voiculescu's non-commutative entropy

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General β-Jacobi Corners Process and the Gaussian Free Field

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\(q\)-distributions on boxed plane partitions

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The econometrics of panel data. Fundamental and recent developments in theory and practice.

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Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models

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Matrix models for beta ensembles

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Efficient Tests for an Autoregressive Unit Root

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Co-Integration and Error Correction: Representation, Estimation, and Testing

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Universality of local spectral statistics of random matrices

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The spectrum edge of random matrix ensembles.

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Asymptotics of unitary multimatrix models: the Schwinger-Dyson lattice and topological recursion

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A unified matrix model including both CCA and F matrices in multivariate analysis: the largest eigenvalue and its applications

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The Tracy-Widom law for the largest eigenvalue of F type matrices

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UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION

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Statistical analysis of cointegration vectors

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Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

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A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model

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On fluctuations of eigenvalues of random Hermitian matrices.

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On the distribution of the largest eigenvalue in principal components analysis

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Multivariate analysis and Jacobi ensembles: largest eigenvalue, Tracy-Widom limits and rates of convergence

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Testing in high-dimensional spiked models

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The Selberg-Jack symmetric functions

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Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process

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Real second order freeness and Haar orthogonal matrices

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Tests for Unit Roots and the Initial Condition

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Gaussian fluctuations of eigenvalues in Wigner random matrices

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Alternative Asymptotics for Cointegration Tests in Large VARs

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Extreme canonical correlations and high-dimensional cointegration analysis

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Asymptotic Properties of Residual Based Tests for Cointegration

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Beta ensembles, stochastic Airy spectrum, and a diffusion

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VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING

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Several applications of the moment method in random matrix theory

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Testing for Common Trends

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Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models

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Random matrices: The Universality phenomenon for Wigner ensembles

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On orthogonal and symplectic matrix ensembles

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EFFICIENT DETRENDING IN COINTEGRATING REGRESSION

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CLT for largest eigenvalues and unit root testing for high-dimensional nonstationary time series

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Identifiers

10.1214/21-AOS2164

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2148991

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