Multiple Time Series Regression with Integrated Processes
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(only showing first 100 items - show all)- On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation
- Cross-sectional dependence robust block bootstrap panel unit root tests
- Understanding spurious regressions in econometrics
- Weak convergence to the matrix stochastic integral \(\int ^{1}_{0}B\,dB'\)
- Multivariate estimates of the permanent components of GNP and stock prices
- Statistical analysis of cointegration vectors
- Testing for cointegration using principal components methods
- Forecasting and testing in co-integrated systems
- Trends and random walks in macroeconomic time series
- A new test for structural stability in the linear regression model
- On the behaviour of the sample autocovariances and autocorrelations of a seasonal ARIMA model
- Impulse response analysis of cointegrated systems
- Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function
- Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends
- Heteroskedastic cointegration
- A simple test for parameter constancy in a nonlinear time series regression model
- Cointegrated processes with infinite variance innovations
- Low-pass filtered least squares estimators of cointegrating vectors
- System estimators of cointegrating matrix in absence of normalising information
- Statistical inference on cointegration rank in error correction models with stationary covariates
- Analysis of cointegration vectors using the GMM approach
- Inference in possibly integrated vector autoregressive models: Some finite sample evidence
- Distribution theory for unit root tests with conditional heteroskedasticity
- Alternative forms of fractional Brownian motion
- Test for partial parameter instability in regressions with \(I(1)\) processes
- Testing the null of stationarity for multiple time series
- Five alternative methods of estimating long-run equilibrium relationships
- LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
- Estimation of partially nonstationary vector autoregressive models with seasonal behavior
- Asymptotic inference for semimartingale models with singular parameter points
- Direct cointegration testing in error correction models
- Estimating cointegration parameters: An application of the double bootstrap
- An outlier robust unit root test with an application to the extended Nelson-Plosser data
- On cointegration tests for VAR models with drift
- Diagnostic test for structural change in cointegrated regression models
- Time series segmentation: A sliding window approach
- A comparison of cointegration tests
- Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments.
- Multiple unit roots in periodic autoregression
- Impulse response and forecast error variance asymptotics in nonstationary VARs
- Stability tests in error correction models
- On bootstrapping regressions with unit root processes
- Structural analysis of vector error correction models with exogenous \(I(1)\) variables
- Statistical inference in regression with heavy-tailed integrated variables
- The Fisher effect in the presence of time-varying coefficients
- A covariate residual-based cointegration test applied to the CDS-bond basis
- Recursive adjustment for general deterministic components and improved cointegration rank tests
- Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships
- Estimating long-run relationships in economics. A comparison of different approaches
- Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
- Higher order approximations for Wald statistics in time series regressions with integrated processes.
- Index models with integrated time series
- Regression quantiles for unstable autoregressive models
- Efficient inference on cointegration parameters in structural error correction models
- Residual-based tests for cointegration in models with regime shifts
- Cointegration and speed of convergence to equilibrium
- On the determination of integration indices in I(2) systems
- Estimation in dynamic regression with an integrated process
- Multicointegration under measurement errors
- Cointegration, variance shifts and the limiting distribution of the OLS estimator
- A residual based test for the null hypothesis of cointegration.
- Two stage least squares estimation in structural cointegration models
- Inference on difference-in-differences average treatment effects: a fixed-b approach
- Inference in time series models using smoothed-clustered standard errors
- Cotrending: testing for common deterministic trends in varying means model
- On change-points tests based on two-samples \(U\)-statistics for weakly dependent observations
- Testing for the presence of jump components in jump diffusion models
- Kernel-based inference in time-varying coefficient cointegrating regression
- Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data
- Inferential theory for heterogeneity and cointegration in large panels
- Testing-optimal kernel choice in HAR inference
- Econometric estimates of Earth's transient climate sensitivity
- A multicointegration model of global climate change
- Inference in heavy-tailed vector error correction models
- A residual-based ADF test for stationary cointegration in I(2) settings
- Nonparametric rank tests for non-stationary panels
- Methods of analyzing nonstationary time series with implicit changes in their properties
- Panel data analysis -- advantages and challenges (with comments and rejoinder)
- Nonstationary dynamic factor analysis
- Testing for serial correlation of unknown form in cointegrated time series models
- Integrated modified OLS estimation and fixed-\(b\) inference for cointegrating regressions
- Testing cointegration relationship in a semiparametric varying coefficient model
- Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference
- Variance ratio tests of the seasonal unit root hypothesis
- Testing for common deterministic trend slopes
- Measurement errors and outliers in seasonal unit root testing
- Bootstrap inference in systems of single equation error correction models
- Modelling structural breaks, long memory and stock market volatility: an overview
- Weak convergence of nonparametric estimators of the multidimensional and multidimensional-multivariate renewal functions on Skorohod topology spaces
- Fully modified least squares cointegrating parameter estimation in multicointegrated systems
- Testing for cointegration with threshold adjustment in the presence of structural breaks
- Multiple structural breaks in cointegrating regressions: a model selection approach
- Frequency domain estimation of temporally aggregated Gaussian cointegrated systems
- Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity
- Robust unit root tests with autoregressive errors
- Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework
- Nonstationary nonlinearity: a survey on Peter Phillips's contributions with a new perspective
- Improving robust model selection tests for dynamic models
- Panel cointegration with global stochastic trends
- ADL tests for threshold cointegration
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