Alternative Asymptotics for Cointegration Tests in Large VARs
From MaRDI portal
Publication:4682715
DOI10.3982/ECTA14649zbMath1401.62173arXiv1605.08880MaRDI QIDQ4682715
Publication date: 19 September 2018
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1605.08880
empirical distribution; vector autoregression; high-dimensional VAR; canonical correlations; cointegration tests; Johansen's test; Wachter distribution
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62H15: Hypothesis testing in multivariate analysis
Related Items
Counterfactual Analysis With Artificial Controls: Inference, High Dimensions, and Nonstationarity, Forecasting vector autoregressions with mixed roots in the vicinity of unity, Cointegration Rank Estimation for High-Dimensional Time Series With Breaks, Predictive quantile regression with mixed roots and increasing dimensions: the ALQR approach, High-Dimensional Cointegration and Kuramoto Inspired Systems, Inference in Heavy-Tailed Nonstationary Multivariate Time Series, Determination of vector error correction models in high dimensions, Cointegration in large VARs, On LASSO for predictive regression, Extreme canonical correlations and high-dimensional cointegration analysis