Multiple Time Series Regression with Integrated Processes
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(only showing first 100 items - show all)- Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data
- Uniform consistency of nonstationary kernel-weighted sample covariances for nonparametric regression
- Local Linear Estimation of a Nonparametric Cointegration Model
- Lag‐augmented two‐ and three‐stage least squares estimators for integrated structural dynamic models
- Inference in time series models using smoothed-clustered standard errors
- Statistical analysis of cointegration vectors
- Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes
- Variance ratio tests of the seasonal unit root hypothesis
- Measurement errors and outliers in seasonal unit root testing
- Testing for common deterministic trend slopes
- A likelihood based estimator for vector autoregressive processes
- Impulse response analysis of cointegrated systems
- THE ASYMPTOTIC EFFICIENCY OF COINTEGRATION ESTIMATORS UNDER TEMPORAL AGGREGATION
- COINTEGRATION FOR PERIODICALLY INTEGRATED PROCESSES
- Alternative forms of fractional Brownian motion
- Estimation of partially nonstationary vector autoregressive models with seasonal behavior
- Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments.
- Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships
- Multivariate Temporal Point Process Regression
- NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS
- Limit theory for local polynomial estimation of functional coefficient models with possibly integrated regressors
- Inferential theory for heterogeneity and cointegration in large panels
- The role of the drift in I(2) systems
- The failure of orthogonality under nonstationarity: should we care about it?
- LONG-RUN STRUCTURAL MODELLING
- AVERAGE DENSITY ESTIMATORS: EFFICIENCY AND BOOTSTRAP CONSISTENCY
- UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
- Panel data analysis -- advantages and challenges (with comments and rejoinder)
- Testing for structural change in cointegrated regression models: some comparisons and generalizations
- Diagnostic test for structural change in cointegrated regression models
- Testing-optimal kernel choice in HAR inference
- A residual-based test of the null of cointegration in panel data
- Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
- Some Results on Cointegration with Random Coefficients in the Error Correction Form: Estimation and Testing
- Frequency domain estimation of temporally aggregated Gaussian cointegrated systems
- Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity
- A STATE SPACE TIME SERIES MODELLING METHOD WITHOUT INDIVIDUAL DETRENDING
- Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework
- Regression quantiles for unstable autoregressive models
- On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
- Simple, robust, and accurate \(F\) and \(t\) tests in cointegrated systems
- Statistical inference in regression with heavy-tailed integrated variables
- ESTIMATION AND INFERENCE ON LONG-RUN EQUILIBRIA: A SIMULATION STUDY
- On change-points tests based on two-samples \(U\)-statistics for weakly dependent observations
- A self-normalization test for structural breaks in a regression model for panel data sets
- Weak convergence to the matrix stochastic integral \(\int ^{1}_{0}B\,dB'\)
- A residual-based ADF test for stationary cointegration in I(2) settings
- Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
- A new test for structural stability in the linear regression model
- Automated Estimation of Heavy-Tailed Vector Error Correction Models
- Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends
- On the behaviour of the sample autocovariances and autocorrelations of a seasonal ARIMA model
- Inference in possibly integrated vector autoregressive models: Some finite sample evidence
- Statistical inference on cointegration rank in error correction models with stationary covariates
- Time series regression on integrated continuous-time processes with heavy and light tails
- Finite sample comparisons of the distributions of the ols and gls estimators in regression with an integrated regsorad correlated errors
- Analysis of cointegrated models with measurement errors
- Impulse response and forecast error variance asymptotics in nonstationary VARs
- Stability tests in error correction models
- Autoregressive distributed lag models and cointegration
- LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS
- Understanding spurious regressions in econometrics
- An analogue model of phase-averaging procedures
- Least absolute deviation estimation for AR(1) processes with roots close to unity
- Unit roots and cointegration modelling through a family of flexible information criteria
- Multiple structural breaks in cointegrating regressions: a model selection approach
- Direct cointegration testing in error correction models
- Panel cointegration with global stochastic trends
- Asymptotic efficiency of the ordinary least-squares estimator for SUR models with integrated regressors
- Estimation of error correction model with measurement errors
- Nonstationary dynamic factor analysis
- A multicointegration model of global climate change
- Counterfactual Analysis and Inference With Nonstationary Data
- Analysis of cointegration vectors using the GMM approach
- Low-pass filtered least squares estimators of cointegrating vectors
- System estimators of cointegrating matrix in absence of normalising information
- Testing the null of stationarity for multiple time series
- Efficient inference on cointegration parameters in structural error correction models
- Residual-based tests for cointegration in models with regime shifts
- Testing cointegration relationship in a semiparametric varying coefficient model
- On the determination of integration indices in I(2) systems
- Distribution theory for unit root tests with conditional heteroskedasticity
- Multiple unit roots in periodic autoregression
- Integrated modified OLS estimation and fixed-\(b\) inference for cointegrating regressions
- Durbin-Hausman tests for cointegration
- Cointegration, variance shifts and the limiting distribution of the OLS estimator
- A comparison of cointegration tests
- Nonstationary panel data analysis: an overview of some recent developments
- Testing for cointegration using principal components methods
- Testing for a unit root in Lee-Carter mortality model
- Spurious regressions when stationary regressors are included
- Trends and random walks in macroeconomic time series
- Asymptotic inference for semimartingale models with singular parameter points
- Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost
- A simple test for parameter constancy in a nonlinear time series regression model
- A warped self-normalized two-sample test for time series with staggered observation periods
- Structural analysis of vector error correction models with exogenous \(I(1)\) variables
- Double AR model without intercept: an alternative to modeling nonstationarity and heteroscedasticity
- Simulation experiments on the performance of structural change tests in cointegration
- Inference in heavy-tailed vector error correction models
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