Optimal Inference in Cointegrated Systems
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(only showing first 100 items - show all)- Testing cointegrating coefficients in vector autoregressive error correction models
- Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function
- Cointegration in partial systems and the efficiency of single-equation analysis
- Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends
- Testing for unit roots using the augmented Dickey-Fuller test. Some issues relating to the size, power and the lag structure of the test
- A note on weak exogeneity in VAR cointegrated models
- Adaptive estimation of cointegrating regressions with ARMA errors
- Low-pass filtered least squares estimators of cointegrating vectors
- System estimators of cointegrating matrix in absence of normalising information
- Representations of \(I(2)\) cointegrated systems using the Smith-McMillan form
- Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
- Trend stationarity in the \(I(2)\) cointegration model.
- Test for partial parameter instability in regressions with \(I(1)\) processes
- Structural relations, cointegration and identification: Some simple results and their application
- Five alternative methods of estimating long-run equilibrium relationships
- LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
- Bootstrapping cointegrating regression
- Estimation of partially nonstationary vector autoregressive models with seasonal behavior
- Comparison of Box-Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models
- Direct cointegration testing in error correction models
- The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
- A numerical Bayesian test for cointegration of AR processes
- Testing for the sustainability of the current account deficit in two industrial countries
- Diagnostic test for structural change in cointegrated regression models
- Estimation and inference in nearly unbalanced nearly cointegrated systems
- Nonparametric cointegration analysis
- Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments.
- Analysis of cointegrated VARMA processes
- Testing cointegration in infinite order vector autoregressive processes
- On the non-existence of a Bartlett correction for unit root tests
- Impulse response and forecast error variance asymptotics in nonstationary VARs
- Estimating fractional cointegration in the presence of polynomial trends
- On adaptive estimation in nonstationary ARMA models with GARCH errors
- Structural analysis of vector error correction models with exogenous \(I(1)\) variables
- Statistical inference in regression with heavy-tailed integrated variables
- On the identification of cointegrated systems in small samples: a modelling strategy with an application to UK wages and prices.
- A time series paradox: unit root tests perform poorly when data are cointegrated
- International mobility of capital in the United States: robust evidence from time-series tests
- Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships
- Weak exogeneity in \(I(2)\) VAR systems
- Nonlinear minimization estimators in the presence of cointegrating relations.
- A CUSUM test for cointegration using regression residuals
- Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration
- Estimating cointegrated systems using subspace algorithms
- Index models with integrated time series
- The role of theory in econometrics
- Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
- Efficient inference on cointegration parameters in structural error correction models
- Conditional and structural error correction models
- Optimal changepoint tests for normal linear regression
- Cointegration tests in the presence of structural breaks
- Cointegration and speed of convergence to equilibrium
- Testing for structural breaks in cointegrated relationships
- On the determination of integration indices in I(2) systems
- Typologies of linear dynamic systems and models
- Testing for Granger causality in variance in the presence of causality in mean
- Cointegration, variance shifts and the limiting distribution of the OLS estimator
- A residual based test for the null hypothesis of cointegration.
- A note on fully-modified estimation of seemingly unrelated regression models with integrated regressors.
- An algebraic interpretation of cointegration
- Consistent inference for predictive regressions in persistent economic systems
- Estimation of continuous and discrete time co-integrated systems with stock and flow variables
- Residual-augmented IVX predictive regression
- On LASSO for predictive regression
- Kernel-based inference in time-varying coefficient cointegrating regression
- Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data
- A survey of exogeneity in vector error correction models
- Econometric estimates of Earth's transient climate sensitivity
- Regression-based analysis of cointegration systems
- Methods of analyzing nonstationary time series with implicit changes in their properties
- Wavelet variance ratio cointegration test and wavestrapping
- Semiparametric estimation in triangular system equations with nonstationarity
- Challenges of trending time series econometrics
- Behavior in small samples of some tests of non-nested hypotheses in nonstationary regressions and their bootstrap versions
- Optimal estimation of cointegrated systems with irrelevant instruments
- Identification robust inference in cointegrating regressions
- Estimation of long-run parameters in unbalanced cointegration
- Interpreting cointegrating vectors and common stochastic trends
- Is public capital really productive? A methodological reappraisal
- Point optimal tests of the null hypothesis of cointegration
- Cointegration in fractional systems with deterministic trends
- Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors
- Fully modified least squares cointegrating parameter estimation in multicointegrated systems
- Bayesian point estimation of the cointegration space
- Frequency domain estimation of temporally aggregated Gaussian cointegrated systems
- Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity
- Nonparametric transformation regression with nonstationary data
- Common cyclical features analysis in VAR models with cointegration
- Weak convergence to stochastic integrals for econometric applications
- Cointegration and sampling frequency
- Measuring Basis Risk in Longevity Hedges
- DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA
- ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
- Semiparametric cointegrating rank selection
- UNBALANCED COINTEGRATION
- Estimating smooth structural change in cointegration models
- ON THE IDENTIFICATION AND ESTIMATION OF NONSTATIONARY AND COINTEGRATED ARMAX SYSTEMS
- Determining the number of factors in a multivariate error correction-volatility factor model
- Cointegrating regressions with time heterogeneity
- Lag‐augmented two‐ and three‐stage least squares estimators for integrated structural dynamic models
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