Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Research exposition (monographs, survey articles) pertaining to statistics (62-02)
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- Summability of stochastic processes -- a generalization of integration for non-linear processes
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- Testing cointegrating relationships using irregular and non-contemporaneous series with an application to paleoclimate data
- Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term
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- Limit theory for high frequency sampled MCARMA models
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- Autocorrelation-based tests for vector error correction models with uncorrelated but nonindependent errors
- Testing the Cointegrating Rank with Uncorrelated but Dependent Errors
- Subsampling vector autoregressive tests of linear constraints
- Testing for the cointegration rank when some cointegrating directions are changing
- Testing for cointegration using partially linear models
- Stability results for nonlinear error correction models
- Cointegration in large VARs
- Econometric analysis of structural systems with permanent and transitory shocks
- Using subspace algorithm cointegration analysis: simulation performance and application to the term structure
- The New Keynesian Phillips curve revisited
- Comprehensively testing linearity hypothesis using the smooth transition autoregressive model
- ASYMPTOTICS FOR COINTEGRATED PROCESSES WITH INFREQUENT STOCHASTIC LEVEL SHIFTS AND OUTLIERS
- Impulse response functions for periodic integration
- Cointegration: Overview and Development
- Modelling interstate tourism demand in Australia: A cointegration approach
- Increasing convergence among European stock markets?: A recursive common stochastic trends analysis
- SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
- Corrigendum to ‘Likelihood‐based cointegration tests in heterogeneous panels’ (Larsson R., J. Lyhagen and M. Löthgren,Econometrics Journal, 4, 2001, 109–142)
- A stochastic programming model for asset liability management of a Finnish pension company
- Cointegration analysis using M estimators.
- Moving dynamic principal component analysis for non-stationary multivariate time series
- Conservatorship, quantitative easing, and mortgage spreads: a new multi-equation score-driven model of policy actions
- Tests against stationary and explosive alternatives in vector autoregressive models
- Influential observations in cointegrated VAR models: Danish money demand 1973–2003
- It only takes a few moments to hedge options
- Combining non-cointegration tests
- The vector error correction index model: representation, estimation and identification
- Stability between cryptocurrency prices and the term structure
- High-Dimensional Cointegration and Kuramoto Inspired Systems
- Inference of Vector Autoregressive Models With Cointegration and Scalar Components
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- Cointegration analysis of metals futures
- SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES
- A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables
- Combining p-values to test for multiple structural breaks in cointegrated regressions
- On the non-existence of a Bartlett correction for unit root tests
- The simple macroeconometrics of the quantity theory and the welfare cost of inflation
- Some notes on nonlinear cointegration: a partial review with some novel perspectives
- Weighted reduced rank estimators under cointegration rank uncertainty
- Testing for cointegration in nonlinear asymmetric smooth transition error correction models
- Dynamics of information leadership in the volatility complex with trading time changes: Evidence from VIX futures and VIX ETPs
- Detecting Unobserved Heterogeneity in Efficient Prices via Classifier-Lasso
- Fredholm inversion around a singularity: application to autoregressive time series in Banach space
- WEAK CONVERGENCE OF NONLINEAR TRANSFORMATIONS OF INTEGRATED PROCESSES: THE MULTIVARIATE CASE
- On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank
- Bayesian point estimation of the cointegration space
- The performance of panel cointegration methods: results from a large scale simulation study
- General-to-specific or specific-to-general modelling? An opinion on current econometric terminology
- Residual autocorrelation testing for vector error correction models
- A sieve bootstrap test for cointegration in a conditional error correction model
- Structural analysis with multivariate autoregressive index models
- Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
- Vector autoregressive moving average identification for macroeconomic modeling: a new methodology
- Numerically stable cointegration analysis
- Functional principal component analysis for cointegrated functional time series
- Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence
- Parameter estimation and inference with spatial lags and cointegration
- Non performing loans (NPLs) in a crisis economy: long-run equilibrium analysis with a real time VEC model for Greece (2001--2015)
- Interdependencies between CDS spreads in the European union: is Greece the black sheep or black swan?
- Panel cointegration testing in the presence of a time trend
- On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
- Time-varying cointegration, identification, and cointegration spaces
- Priors for the long run
- Automated estimation of vector error correction models
- Are Imports and Exports Cointegrated? An International Comparison
- IV-based cointegration testing in dependent panels with time-varying variance
- Tests of serial independence for continuous multivariate time series based on a Möbius decomposition of the independence empirical copula process
- Asymptotic theory for near integrated processes driven by tempered linear processes
- Distributions of error correction tests for cointegration
- Bayesian Inference in CointegratedI(2) Systems: A Generalization of the Triangular Model
- Asymptotic theory for a vector ARMA-GARCH model
- Nonparametric estimation in a nonlinear cointegration type model
- Bootstrap Determination of the Co‐Integration Rank in VAR Models with Unrestricted Deterministic Components
- Hybrid SV-GARCH, t-GARCH and Markov-switching covariance structures in VEC models -- which is better from a predictive perspective?
- Time-varying cointegration model using wavelets
- Identifying cointegration by eigenanalysis
- A residual-based ADF test for stationary cointegration in I(2) settings
- Extreme Spectra of Var Models and Orders of Near‐Cointegration
- Generalized impulse response analysis in linear multivariate models
- Testing for \(r\) versus \(r-1\) cointegrating vectors
- Automated Estimation of Heavy-Tailed Vector Error Correction Models
- Finite-sample simulation-based inference in VAR models with application to Granger causality testing
- Geometric and long run aspects of Granger causality
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