Subspace-based methods to determine unit roots and cointegrating ranks

zbMATH Open1148.62068MaRDI QIDQ3533595FDOQ3533595

Authors: A. García-Hiernaux, J. Casals, M. Jerez 

Publication date: 23 October 2008

Full work available at URL: https://eudml.org/doc/54669

Recommendations

• Unit roots and cointegration modelling through a family of flexible information criteria
• Estimating cointegrated systems using subspace algorithms
• Joint detection of unit roots and cointegration: data-based simulation
• Using subspace algorithm cointegration analysis: simulation performance and application to the term structure
• Cointegration Detection Using Dynamic Factor Models

zbMATH Keywords

information criteriastate space modelstime series analysisloss function

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (3)

• Using subspace algorithm cointegration analysis: simulation performance and application to the term structure
• Unit roots and cointegration modelling through a family of flexible information criteria
• Estimating cointegrated systems using subspace algorithms

This page was built for publication: Subspace-based methods to determine unit roots and cointegrating ranks

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3533595)