Cointegration in large VARs

DOI10.1214/21-AOS2164MaRDI QIDQ2148991zbMATH OpenFDO

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

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)

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

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