Statistical analysis of cointegration vectors
From MaRDI portal
(Redirected from Publication:1104685)
Recommendations
- Cointegration: Overview and Development
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Canonical Cointegrating Regressions
Cites work
- scientific article; zbMATH DE number 3872515 (Why is no real title available?)
- scientific article; zbMATH DE number 4062374 (Why is no real title available?)
- scientific article; zbMATH DE number 4128260 (Why is no real title available?)
- scientific article; zbMATH DE number 3271181 (Why is no real title available?)
- Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
- Asymptotic Properties of Residual Based Tests for Cointegration
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Distribution of eigenvalues in multivariate statistical analysis
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Functional relations, random coefficients, and nonlinear regression with application to kinetic data
- Multiple Time Series Regression with Integrated Processes
- Reduced rank models for multiple time series
- Testing for Common Trends
- Testing for cointegration using principal components methods
- The theory of least squares when the parameters are stochastic and its application to the analysis of growth curves
- Time Series Regression with a Unit Root
- Understanding spurious regressions in econometrics
Cited in
(only showing first 100 items - show all)- scientific article; zbMATH DE number 1865389 (Why is no real title available?)
- Estimating unknown join points: Determination of the yen-dollar exchange rate
- Fundamentals and bubbles in asset prices: Evidence from U.S. and Japanese asset prices
- Method of cointegration and exchange rates
- Test for cointegration based on two-stage least squares
- Multiple unit roots in periodic autoregression
- Small sample testing for cointegration using the bootstrap approach
- VARMAX-modelling of blast furnace process variables
- Efficiency of the Turkish stock exchange with respect to monetary variables: A cointegration analysis
- The impact of structural breaks on the integration of the ASEAN-5 stock markets
- The efficiency of financial futures markets: tests of prediction accuracy.
- A simple message for autocorrelation correctors: Don't
- Some Results on Cointegration with Random Coefficients in the Error Correction Form: Estimation and Testing
- GSA-based maximum likelihood estimation for threshold vector error correction model
- Econometric decision models. Proceedings of the 2nd International Conference held in Haus Nordhelle, Meinerzhagen, Nordrhein-Westfalen, Germany, August 29--September 1, 1989
- Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function
- Estimation of simultaneous equation models with stochastic trend components
- Bootstrap and fast double bootstrap tests of cointegration rank with financial time series
- Exports and economic growth: Evidence from 19th Century Europe
- Fiscal policy in good and bad times
- Asymmetric price adjustment and price discovery in spot and futures markets of agricultural commodities
- TESTING THE NULL OF NO COINTEGRATION WHEN COVARIATES ARE KNOWN TO HAVE A UNIT ROOT
- The transmission of shocks between Europe, Japan and the United States
- Bootstrap cointegration rank testing: the role of deterministic variables and initial values in the bootstrap recursion
- A small sample correction for tests of hypotheses on the cointegrating vectors
- Structural breaks, tourism development, and economic growth: Evidence from Taiwan
- The impact of information timeliness on the predictability of stock and futures returns: An application of vector models
- Submodel estimation of a structural vector error correction model under cointegration
- Cointegration in large VARs
- Cotrending and the stationarity of the real interest rate
- Booststrapped johansen tests for cointegration relationships: a graphical analysis
- Analysis of cointegrated VARMA processes
- Natural rate doubts
- A test for fractional cointegration using the sieve bootstrap
- Are saving and investment cointegrated? An ARDL bounds testing approach.
- 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
- Weak separability of non-tradables from consumer good imports: A simple test with evidence from Bangladesh
- Common nonstationary components of asset prices
- Testing the null of stationarity for multiple time series
- A Wald test of restrictions on the cointegrating space based on Johansen's estimator
- Exact maximum likelihood estimation of partially nonstationary vector ARMA models
- Comparison of Box-Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models
- Real exchange rates under the recent float: Unequivocal evidence of mean reversion
- Testing misspecified cointegrating relationships
- Methods of analyzing nonstationary time series with implicit changes in their properties
- Testing cointegrating coefficients in vector autoregressive error correction models
- Maximum likelihood estimators in regression models with infinite variance innovations
- Numerically stable cointegration analysis
- Seasonal cointegration and cross-equation restrictions on a forward-looking buffer stock model of money demand.
- Detection and attribution of climate change through econometric methods
- On the Markov switching welfare cost of inflation
- Export price responses to exogenous exchange rate movements
- Some recent developments in Markov chain Monte Carlo for cointegrated time series
- Cotrending: testing for common deterministic trends in varying means model
- Cointegration analysis and category sales: Stationarity and long-run equilibrium in market shares
- Nonstationary term premia and cointegration of the term structure
- Nonparametric cointegration analysis of the nominal interest rate and expected inflation rate
- Seasonal cointegration for monthly data
- A ``maximum-eigenvalue test for the cointegration ranks in \(I(2)\) vector autoregressions
- The informational value of unemployment statistics: a note on the time series properties of participation rates
- Consistency and asymptotic normality of M-estimates of scatter on Grassmann manifolds
- International cause-specific mortality rates: new insights from a cointegration analysis
- Modeling longevity risk with generalized dynamic factor models and vine-copulae
- Estimation of continuous and discrete time co-integrated systems with stock and flow variables
- The role of the leverage effect in the price discovery process of credit markets
- Econometric modelling of climate systems: the equivalence of energy balance models and cointegrated vector autoregressions
- Price discovery and spillover dynamics in the Chinese stock index futures market: a natural experiment on trading volume restriction
- A Wald test for the cointegration rank in nonstationary fractional systems
- Violent crime and incentives in the long-run: evidence from England and Wales
- Cause-specific mortality rates: common trends and differences
- Technological leaders, laggards and spillovers: a network GVAR analysis
- Cointegration: Bayesian significance test
- Automated Estimation of Heavy-Tailed Vector Error Correction Models
- Typologies of linear dynamic systems and models
- Likelihood-based tests for parameter constancy in \(I(2)\) CVAR models with an application to fixed-term deposit data
- Cointegrated dynamics for a generalized long memory process: application to interest rates
- Modelling time series data of monetary aggregates using \(I(2)\) and \(I(1)\) cointegration analysis
- A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts
- The dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price
- Relaxed support vector regression
- Price discovery in Chinese stock index futures market: new evidence based on intraday data
- Do both demand-following and supply-leading theories hold true in developing countries?
- A further interpretation of Friedman's hypothesis: The cointegration of component CPI indexes
- Noncausality in VAR-ECM models with purely exogeneous long-run paths
- A unifying theory of tests of rank
- Efficient inference in multivariate fractionally integrated time series models
- Likelihood-based inference for weak exogeneity in I(2) cointegrated VAR models
- Optimizing a basket against the efficient market hypothesis
- Analysis of cointegrated models with measurement errors
- Does a \(J\)-curve exist for Korea and Taiwan?
- Cointegration analysis under measurement errors
- Short- and Long-Term Dynamics of Cause-Specific Mortality Rates Using Cointegration Analysis
- Estimating the equilibrium effective exchange rate for potential EMU members
- Some notes on nonlinear cointegration: a partial review with some novel perspectives
- Signal extraction for non-stationary multivariate time series with illustrations for trend inflation
- Time Series Analysis of Relationships Among Crypto-asset Exchange Rates
- Bartlett corrections in cointegration testing
- Variance disparity and market frictions
This page was built for publication: Statistical analysis of cointegration vectors
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1104685)
