Unit roots and cointegration modelling through a family of flexible information criteria
DOI10.1080/00949650802584991zbMATH Open1202.91276OpenAlexW2118636004MaRDI QIDQ5306331FDOQ5306331
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
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)
Cites Work
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- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
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- Subspace methods for system identification.
- Estimating cointegrated systems using subspace algorithms
- 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
- Fast estimation methods for time-series models in state–space form
- Tests for cointegration. A Monte Carlo comparison
- Tests for Cointegration Based on Canonical Correlation Analysis
- Properties of predictors in overdifferenced nearly nonstationary autoregression
Cited In (5)
- 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
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