Unit Roots, Cointegration, and Pretesting in Var Models
DOI10.1108/S0731-9053(2013)0000031003zbMath1443.62227OpenAlexW3023162076MaRDI QIDQ3295725
Nikolay Gospodinov, Elena Pesavento, Ana María Herrera
Publication date: 10 July 2020
Published in: VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1108/s0731-9053(2013)0000031003
cointegrationunit rootsstructural VARimpulse response functionspretestingshort/long-run identificationvector autoregressive (VAR)
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric robustness (62G35) Non-Markovian processes: hypothesis testing (62M07)
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