Cointegration in large VARs

DOI10.1214/21-AOS2164MaRDI QIDQ2148991FDOQ2148991

Authors: Anna Bykhovskaya, Vadim Gorin 

Publication date: 24 June 2022

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.14179

Recommendations

• Alternative asymptotics for cointegration tests in large VARs
• Statistical analysis of cointegration vectors
• Analysis of cointegrated VARMA processes
• Testing cointegration in infinite order vector autoregressive processes
• Statistical inference in vector autoregressions with possibly integrated processes

zbMATH Keywords

cointegrationhigh-dimensional VARJacobi ensembleJohansen testvector autoregressive process (VAR)

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cited In (9)

• Cointegration in continuous time for factor models
• On LASSO for high dimensional predictive regression
• Cointegration in large VARs
• Penalisation methods in fitting high-dimensional cointegrated vector autoregressive models: a review
• On LASSO for predictive regression
• Heteroskedastic cointegration
• Multivariate cointegration analysis of the Finnish-Japanese stock markets
• Inference in Heavy-Tailed Nonstationary Multivariate Time Series
• Separate cointegration in a VAR system subject to structural breaks

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