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

zbMATH Keywords

cointegrationunit rootsstructural VARimpulse response functionspretestingshort/long-run identificationvector autoregressive (VAR)

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric robustness (62G35) Non-Markovian processes: hypothesis testing (62M07)

Related Items (3)

The uniform validity of impulse response inference in autoregressions ⋮ How does economic policy uncertainty respond to permanent and transitory shocks? ⋮ Structural VAR models in the frequency domain

This page was built for publication: Unit Roots, Cointegration, and Pretesting in Var Models