Inference of Vector Autoregressive Models With Cointegration and Scalar Components
From MaRDI portal
Publication:4366073
DOI10.2307/2291480zbMath1090.62552MaRDI QIDQ4366073
Publication date: 1997
Full work available at URL: https://doi.org/10.2307/2291480
Cofeature, Gaussian estimation; Nested reduced rank; Partially nonstationary; Serial correlation common feature
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62F10: Point estimation
Related Items
COMMON FEATURES IN TIME SERIES WITH BOTH DETERMINISTIC AND STOCHASTIC SEASONALITY, SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES, Common cyclical features analysis in VAR models with cointegration, Studying co-movements in large multivariate data prior to multivariate modelling, Common cycles in seasonally cointegrated time series, Generalized method of moments estimation for cointegrated vector autoregressive models, Who's afraid of reduced-rank parameterizations of multivariate models? Theory and example, Nonstationary dynamic factor analysis