Cointegration Detection Using Dynamic Factor Models
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Publication:5451124
DOI10.1080/03610910701723997zbMATH Open1132.91596OpenAlexW1984402487MaRDI QIDQ5451124FDOQ5451124
Publication date: 18 March 2008
Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610910701723997
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Cites Work
- Estimating the dimension of a model
- A new look at the statistical model identification
- Statistical analysis of cointegration vectors
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- COINTEGRATION AND COMMON FACTORS
- Testing for Common Trends
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Finite sample properties of estimators for autoregressive moving average models
- A REVIEW OF SYSTEMS COINTEGRATION TESTS
- Editorial: Dynamic factor models
- Differentiating between coefficient break and volatility break
Cited In (8)
- Subspace-based methods to determine unit roots and cointegrating ranks
- Which vintage of data to use when there are multiple vintages of data?: Cointegration, weak exogeneity and common factors
- Cointegration in continuous time for factor models
- Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices
- Joint detection of unit roots and cointegration: data-based simulation
- DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS
- COINTEGRATION AND COMMON FACTORS
- Cointegration and Dynamic Simultaneous Equations Model
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