Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank
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Cites work
- scientific article; zbMATH DE number 192992 (Why is no real title available?)
- scientific article; zbMATH DE number 490141 (Why is no real title available?)
- scientific article; zbMATH DE number 3258670 (Why is no real title available?)
- A REVIEW OF SYSTEMS COINTEGRATION TESTS
- A Simpler, Affine-Invariant, Multivariate, Distribution-Free Sign Test
- A distribution-free M-estimator of multivariate scatter
- Adaptive estimation of cointegrating regressions with ARMA errors
- Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors
- Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
- Asymptotic Statistics
- Asymptotic linearity of serial and nonserial multivariate signed rank statistics
- Asymptotic methods in statistical decision theory
- Asymptotics in statistics: some basic concepts
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Efficient R-estimation of principal and common principal components
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Improved likelihood ratio tests for cointegration rank in the VAR model
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Mathematical theory of statistics. Statistical experiments and asymptotic decision theory
- Multivariate signed-rank tests in vector autoregressive order identification
- ON THE PITMAN NON-ADMISSIBILITY OF CORRELOGRAM-BASED METHODS
- Optimal Inference in Cointegrated Systems
- Optimal procedures based on interdirections and pseudo-Mahalanobis ranks for testing multivariate elliptic white noise against ARMA dependence
- Optimal rank-based testing for principal components
- Optimal rank-based tests for common principal components
- Optimal rank-based tests for homogeneity of scatter
- Optimal tests for multivariate location based on interdirections and pseudo-Mahalanobis ranks.
- Rank tests for unit roots
- Rank-based optimal tests of the adequacy of an elliptic VARMA model
- Semi-parametric efficiency, distribution-freeness and invariance
- Semiparametrically efficient rank-based inference for shape. I: optimal rank-based tests for sphericity
- Semiparametrically efficient rank-based inference for shape. II: Optimal \(R\)-estimation of shape
- Statistical analysis of cointegration vectors
- Testing Statistical Hypotheses
- Time-consistent mean-variance hedging of longevity risk: effect of cointegration
- VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
- \(R\)-estimation for asymmetric independent component analysis
Cited in
(5)- A comparison of parametric, semi-nonparametric, adaptive, and nonparametric cointegration tests
- A unifying theory of tests of rank
- Semiparametrically optimal cointegration test
- Inference in Heavy-Tailed Nonstationary Multivariate Time Series
- A simple R-estimation method for semiparametric duration models
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