Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
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Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
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(only showing first 100 items - show all)- Bayesian learning of graphical vector autoregressions with unequal lag-lengths
- A test for fractional cointegration using the sieve bootstrap
- 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
- The buffer stock model redux? An analysis of the dynamics of foreign reserve accumulation
- Credit, income, and causality: a contemporary co-integration analysis
- Bonferroni correction for seasonal cointegrating ranks
- Statistical analysis of cointegration vectors
- Generalized impulse response analysis in linear multivariate models
- On identifying permanent and transitory shocks in VAR models
- Likelihood inference for a fractionally cointegrated vector autoregressive model
- Testing misspecified cointegrating relationships
- A lag augmentation test for the cointegrating rank of a VAR process
- System estimators of cointegrating matrix in absence of normalising information
- Inference in possibly integrated vector autoregressive models: Some finite sample evidence
- Pitfalls in testing for long run relationships
- Trend stationarity in the \(I(2)\) cointegration model.
- Testing for \(r\) versus \(r-1\) cointegrating vectors
- An automated approach towards sparse single-equation cointegration modelling
- On the non-existence of a Bartlett correction for unit root tests
- Impulse response functions for periodic integration
- Asymptotic distribution of the reduced rank regression estimator under general conditions
- On simulated EM algorithms
- The econometric consequences of the ceteris paribus condition in economic theory
- Inference on one-way effect and evidence in Japanese macroeconomic data
- Structural analysis of vector error correction models with exogenous \(I(1)\) variables
- A distance measure between cointegration spaces
- On the maximum likelihood cointegration procedure under a fractional equilibrium error
- Cointegration analysis of metals futures
- 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 the relationship between the theory of cointegration and the theory of phase synchronization
- Cointegration analysis with state space models
- Coping with demand volatility in retail pharmacies with the aid of big data exploration
- Money and velocity during financial crises: from the Great Depression to the Great Recession
- Cointegration in singular ARMA models
- Wild bootstrap tests for autocorrelation in vector autoregressive models
- Recursive adjustment for general deterministic components and improved cointegration rank tests
- Do they still matter? -- Impact of fossil fuels on electricity prices in the light of increased renewable generation
- A power comparison between autocorrelation based tests
- Time-varying cointegration model using wavelets
- It only takes a few moments to hedge options
- Portmanteau-type tests for unit-root and cointegration
- Long memory interdependency and inefficiency in bitcoin markets
- Weak exogeneity in \(I(2)\) VAR systems
- Testing exact rational expectations in cointegrated vector autoregressive models
- Nonparametric estimation in null recurrent time series.
- Reduced rank regression in cointegrated models.
- Determination of cointegrating rank in fractional systems.
- Inference on the cointegration rank in fractionally integrated processes.
- A CUSUM test for cointegration using regression residuals
- A small sample correction for tests of hypotheses on the cointegrating vectors
- Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration
- Estimating cointegrated systems using subspace algorithms
- Comparison of tests for the cointegrating rank of a VAR process with a structural shift
- Numerically stable cointegration analysis
- On the aggregation of Eurozone data
- A test of serial independence of deviations from cointegrating relations
- Problems related to over-identifying restrictions for structural vector error correction models
- Two stage least squares estimation in structural cointegration models
- Testing for the cointegrating rank of a VAR process with a time trend
- Noncausality in VAR-ECM models with purely exogeneous long-run paths
- An algebraic interpretation of cointegration
- Pushing the limit? Fiscal policy in the European Monetary Union
- Combining p-values to test for multiple structural breaks in cointegrated regressions
- Cause-specific mortality rates: common trends and differences
- Consumption, aggregate wealth and expected stock returns: an FCVAR approach
- Copula-based Black-Litterman portfolio optimization
- A comparison of semiparametric tests for fractional cointegration
- Technological leaders, laggards and spillovers: a network GVAR analysis
- Financial stress, regime switching and macrodynamics
- Cointegration in large VARs
- Exploring the impact of air pollution on COVID-19 admitted cases. Evidence from vector error correction model (VECM) approach in explaining the relationship between air pollutants towards COVID-19 cases in Kuwait
- Comparing estimation methods of non-stationary errors-in-variables models
- Cointegrated dynamics for a generalized long memory process: application to interest rates
- A survey of exogeneity in vector error correction models
- High-dimensional predictive regression in the presence of cointegration
- Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment
- Tests for real and complex unit roots in vector autoregressive models
- The power of bootstrap tests of cointegration rank
- Trends in distributional characteristics: existence of global warming
- Econometric modelling of climate systems: the equivalence of energy balance models and cointegrated vector autoregressions
- Evaluating trends in time series of distributions: a spatial fingerprint of human effects on climate
- Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies
- Pitfalls and merits of cointegration-based mortality models
- Inference in heavy-tailed vector error correction models
- Estimation for double-nonlinear cointegration
- Asymptotic theory for near integrated processes driven by tempered linear processes
- Asymptotic analysis of non-periodical cointegration with high seasonals
- Estimating the equilibrium effective exchange rate for potential EMU members
- The transfer problem in the euro area
- Extreme canonical correlations and high-dimensional cointegration analysis
- A residual-based ADF test for stationary cointegration in I(2) settings
- Nonparametric rank tests for non-stationary panels
- Regression-based analysis of cointegration systems
- A unifying theory of tests of rank
- Oscillating systems with cointegrated phase processes
- Exchange rate pass-through in a small open economy: the importance of the distribution sector
- Purchasing power parity between the UK and Germany: the euro era
- The long-run determination of the real exchange rate. Evidence from an intertemporal modelling framework using the dollar-pound exchange rate
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