System estimators of cointegrating matrix in absence of normalising information
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Recommendations
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Cites work
- A canonical analysis of multiple time series
- A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Asymptotic Normality, When Regressors Have a Unit Root
- Asymptotic Properties of Residual Based Tests for Cointegration
- Asymptotics for linear processes
- Canonical Cointegrating Regressions
- Common nonstationary components of asset prices
- Comparison of Box-Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models
- Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
- Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Estimation for Partially Nonstationary Multivariate Autoregressive Models
- Five alternative methods of estimating long-run equilibrium relationships
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- scientific article; zbMATH DE number 3144516 (Why is no real title available?)
- scientific article; zbMATH DE number 3765004 (Why is no real title available?)
- Identification of the long-run and the short-run structure. An application to the ISLM model
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Linear Statistical Inference and its Applications
- Multiple Time Series Regression with Integrated Processes
- Optimal Inference in Cointegrated Systems
- RELATIONS BETWEEN TWO SETS OF VARIATES
- Statistical analysis of cointegration vectors
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Testing for Common Trends
- Time Series Regression with a Unit Root
Cited in
(6)- Cointegration in partial systems and the efficiency of single-equation analysis
- Normal estimators for cointegrating relationships
- Estimating cointegrated systems using subspace algorithms
- A Wald test of restrictions on the cointegrating space based on Johansen's estimator
- Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes
- High-Dimensional Cointegration and Kuramoto Inspired Systems
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