AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS

DOI10.1017/S026646661500002XzbMath1441.62793OpenAlexW3121888605MaRDI QIDQ5255876

Peter C. B. Phillips, Zhipeng Liao

Publication date: 22 June 2015

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

Full work available at URL: https://doi.org/10.1017/s026646661500002x

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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