Testing the Cointegrating Rank with Uncorrelated but Dependent Errors
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Publication:3611808
DOI10.1080/07362990802558378zbMath1155.62069OpenAlexW2050615121MaRDI QIDQ3611808
Publication date: 3 March 2009
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362990802558378
likelihood ratio testcointegrationreduced rank regressionvector error correction modelstrong mixing condition
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Economic time series analysis (91B84)
Related Items (4)
Autocorrelation-based tests for vector error correction models with uncorrelated but nonindependent errors ⋮ Semi-strong linearity testing in linear models with dependent but uncorrelated errors ⋮ Comparison of procedures for fitting the autoregressive order of a vector error correction model ⋮ An asymptotic invariance property of the common trends under linear transformations of the data
Cites Work
- Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity
- A functional central limit theorem for weakly dependent sequences of random variables
- Weak convergence to the matrix stochastic integral \(\int ^{1}_{0}B\,dB'\)
- Statistical analysis of cointegration vectors
- Asymptotics for linear processes
- Maximum likelihood estimation for all-pass time series models
- Inference For Autocorrelations Under Weak Assumptions
- Estimation for Partially Nonstationary Multivariate Autoregressive Models
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Convergence of Distributions Generated by Stationary Stochastic Processes
- Diagnostic Checking in ARMA Models With Uncorrelated Errors
- Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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