The selection of zero-non-zero patterned cointegrating vectors in error-correction modelling

DOI10.1080/07474939708800388zbMATH Open0902.62133OpenAlexW2070835551MaRDI QIDQ4355158FDOQ4355158

Authors: Jammie H. Penm, R. D. Terrell, Jack H. W. Penm 

Publication date: 14 December 1998

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939708800388

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zbMATH Keywords

cointegrationsearch algorithmtree pruningvector error correction modellingzero entry

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cites Work

• Forecasting and testing in co-integrated systems
• VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
• Posterior Implementability in a Two-Person Decision Problem
• ORDER DETERMINATION OF MULTIVARIATE AUTOREGRESSIVE TIME SERIES WITH UNIT ROOTS
• Multivariate subset autoregressive modelling with zero constraints for detecting 'overall causality'
• Interpreting cointegrating vectors and common stochastic trends

Cited In (1)

• TESTING PPP BY MEANS OF ZNZ PATTERNED VECM

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