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

DOI10.1080/07474939708800388MaRDI QIDQ4355158zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

cointegrationsearch algorithmtree pruningvector error correction modellingzero entry

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(1)

• TESTING PPP BY MEANS OF ZNZ PATTERNED VECM

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