Tests for real and complex unit roots in vector autoregressive models

DOI10.1016/J.JMVA.2014.05.012zbMATH Open1292.62127OpenAlexW1972126728WikidataQ109549567 ScholiaQ109549567MaRDI QIDQ2252897FDOQ2252897

Authors: Jukka Nyblom, Jaakko Suomala 

Publication date: 24 July 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2014.05.012

Recommendations

• Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model
• Testing for a unit root in noncausal autoregressive models
• Efficient Tests for an Autoregressive Unit Root
• Testing for unit root processes in random coefficient autoregressive models
• Testing for a unit root against transitional autoregressive models
• Testing for unit roots in autoregressive-moving average models of unknown order

zbMATH Keywords

time seriescointegrationcompanion matrixseasonal unit rooteigenvalue testnon-standard asymptotic distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Seasonal integration and cointegration
• Estimating the dimension of a model
• Matrix Analysis
• Linear Statistical Inference and its Applications
• A new look at the statistical model identification
• Title not available (Why is that?)
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Title not available (Why is that?)
• Estimation of partially nonstationary vector autoregressive models with seasonal behavior
• Tests against stationary and explosive alternatives in vector autoregressive models
• Likelihood analysis of seasonal cointegration

Cited In (7)

• Tests against stationary and explosive alternatives in vector autoregressive models
• VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
• Tests of integration in circular autoregressive models
• Efficient tests for the presence of a pair of complex conjugate unit roots in real time series
• Testing a multivariate process for multiple unit roots
• COMPLEX UNIT ROOTS AND BUSINESS CYCLES: ARE THEY REAL?
• Testing for a unit root nonstationarity in multivariate autoregressive time series

This page was built for publication: Tests for real and complex unit roots in vector autoregressive models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2252897)