Unit roots and cointegration modelling through a family of flexible information criteria

DOI10.1080/00949650802584991zbMATH Open1202.91276OpenAlexW2118636004MaRDI QIDQ5306331FDOQ5306331

Authors A. García-Hiernaux, M. Jerez, J. Casals 

Publication date 8 April 2010

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949650802584991

zbMATH Keywords

unit rootscointegrationstate-space modelssubspace methods

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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• Subspace-based methods to determine unit roots and cointegrating ranks
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Cites Work

• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• A fast and stable method to compute the likelihood of time invariant state-space models.
• An Exact Multivariate Model-Based Structural Decomposition
• An improved Akaike information criterion for state-space model selection
• Comparisons of tests for multivariate cointegration
• ESTIMATING LINEAR DYNAMICAL SYSTEMS USING SUBSPACE METHODS
• Estimating cointegrated systems using subspace algorithms
• Estimating the dimension of a model
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Fast estimation methods for time-series models in state–space form
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Multiple Time Series Regression with Integrated Processes
• Properties of predictors in overdifferenced nearly nonstationary autoregression
• Statistical analysis of cointegration vectors
• Subspace methods for system identification.
• Tests for Cointegration Based on Canonical Correlation Analysis
• Tests for cointegration. A Monte Carlo comparison

Cited In (7)

• Using subspace algorithm cointegration analysis: simulation performance and application to the term structure
• Subspace-based methods to determine unit roots and cointegrating ranks
• Identification of canonical models for vectors of time series: a subspace approach
• BIC-based unit-root detection: simulation-based evidence
• Joint detection of unit roots and cointegration: data-based simulation
• Forecasting linear dynamical systems using subspace methods
• A strongly consistent criterion to decide between I(1) and I(0) processes based on different convergence rates

Uses Software

• E4

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