Reduced rank regression in cointegrated models.

DOI10.1016/S0304-4076(01)00095-1zbMath1036.62068OpenAlexW2021657818MaRDI QIDQ1858914

T. W. Anderson

Publication date: 17 February 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00095-1

zbMATH Keywords

least-squares estimatorserror-correction formnonstationary autoregressions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cites Work

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• Asymptotic distribution of the reduced rank regression estimator under general conditions
• The asymptotic distribution of canonical correlations and vectors in higher-order cointegrated models
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• The asymptotic distribution of canonical correlations and variates in cointegrated models
• Some tests for parameter constancy in cointegrated VAR‐models
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions