Error-Correction Factor Models for High-dimensional Cointegrated Time Series
From MaRDI portal
Publication:5134485
DOI10.5705/ss.202017.0250zbMath1454.62273OpenAlexW2954172329MaRDI QIDQ5134485
Yundong Tu, Qiwei Yao, Rong Mao Zhang
Publication date: 16 November 2020
Published in: Statistica Sinica (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/106994/1/15th.pdf
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Self-similar stochastic processes (60G18) Applications of functional analysis in probability theory and statistics (46N30)
Related Items (4)
Forecasting vector autoregressions with mixed roots in the vicinity of unity ⋮ Regularized Estimation in High-Dimensional Vector Auto-Regressive Models Using Spatio-Temporal Information ⋮ Inference in Heavy-Tailed Nonstationary Multivariate Time Series ⋮ Estimation for double-nonlinear cointegration
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Factor modeling for high-dimensional time series: inference for the number of factors
- Semiparametric inference in multivariate fractionally cointegrated systems
- Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
- Forecasting and testing in co-integrated systems
- Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
- The importance of common cyclical features in VAR analysis: A Monte-Carlo study.
- Forecasting with nonstationary dynamic factor models
- Estimating cross-section common stochastic trends in nonstationary panel data
- Optimal Inference in Cointegrated Systems
- Nested Reduced-Rank Autogressive Models for Multiple Time Series
- A canonical analysis of multiple time series
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Identifying Cointegration by Eigenanalysis
- AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS
- Panel Data Models With Interactive Fixed Effects
- Measurement Error in Linear Autoregressive Models
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
This page was built for publication: Error-Correction Factor Models for High-dimensional Cointegrated Time Series