Pages that link to "Item:Q5966603"
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The following pages link to Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (Q5966603):
Displaying 50 items.
- Subsampling vector autoregressive tests of linear constraints (Q261882) (← links)
- Testing for the cointegration rank when some cointegrating directions are changing (Q261903) (← links)
- Bootstrap inference in systems of single equation error correction models (Q265021) (← links)
- Cointegration in fractional systems with deterministic trends (Q265117) (← links)
- Generalized reduced rank tests using the singular value decomposition (Q274909) (← links)
- Bootstrapping cointegrating regressions (Q275261) (← links)
- Alternative bootstrap procedures for testing cointegration in fractionally integrated processes (Q275262) (← links)
- Residual autocorrelation testing for vector error correction models (Q278197) (← links)
- Frequency domain estimation of temporally aggregated Gaussian cointegrated systems (Q278231) (← links)
- Econometric analysis of linearized singular dynamic stochastic general equilibrium models (Q278276) (← links)
- Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity (Q278492) (← links)
- Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach (Q289172) (← links)
- Diagnostic testing for cointegration (Q291113) (← links)
- The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test (Q291635) (← links)
- Testing for short- and long-run causality: a frequency-domain approach (Q291704) (← links)
- Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process (Q291863) (← links)
- Nonlinear expectations in speculative markets -- evidence from the ECB Survey of Professional Forecasters (Q310925) (← links)
- The short-run and long-run behaviour of personal consumption in Croatia (Q351544) (← links)
- Price discovery in the U.S. stock and stock options markets: a portfolio approach (Q375529) (← links)
- The market impact of a limit order (Q433360) (← links)
- Root-\(n\)-consistent estimation of weak fractional cointegration (Q451251) (← links)
- Forecasting inflation using commodity price aggregates (Q472756) (← links)
- Improved likelihood ratio tests for cointegration rank in the VAR model (Q473351) (← links)
- Modelling longevity bonds: analysing the Swiss Re Kortis bond (Q492630) (← links)
- Using large data sets to forecast sectoral employment (Q520398) (← links)
- Cointegration testing under structural change: reducing size distortions and improving power of residual based tests (Q520400) (← links)
- Model selection in the presence of nonstationarity (Q528002) (← links)
- A martingale decomposition of discrete Markov chains (Q529765) (← links)
- A likelihood based estimator for vector autoregressive processes (Q537365) (← links)
- Dynamic modeling of mean-reverting spreads for statistical arbitrage (Q545522) (← links)
- Identification of multivariate AR-models by threshold accepting (Q672526) (← links)
- A note on the critical values for the maximum likelihood (seasonal) cointegration tests (Q672562) (← links)
- The dynamic effects of aggregate demand and supply disturbances: Another Look (Q672613) (← links)
- Unit roots and cointegration in estimating causality between exports and economic growth: (Q672650) (← links)
- A new approach to estimating value-income ratios with income growth and time-varying yields (Q726246) (← links)
- Tests for cointegration rank and choice of the alternative (Q734469) (← links)
- Semiparametric inference in multivariate fractionally cointegrated systems (Q736545) (← links)
- Testing for co-integration in vector autoregressions with non-stationary volatility (Q736551) (← links)
- Likelihood based testing for no fractional cointegration (Q736557) (← links)
- Modelling and measuring price discovery in commodity markets (Q736559) (← links)
- Cointegration, long-run structural modelling and weak exogeneity: two models of the UK economy (Q736560) (← links)
- Cointegration in a historical perspective (Q736567) (← links)
- A class of simple distribution-free rank-based unit root tests (Q737964) (← links)
- A control function approach for testing the usefulness of trending variables in forecast models and linear regression (Q737994) (← links)
- Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions (Q737999) (← links)
- Estimation for spatial dynamic panel data with fixed effects: the case of spatial cointegration (Q738131) (← links)
- Joint modeling of cointegration and conditional heteroscedasticity with applications (Q816593) (← links)
- Convergence and interdependence between ASEAN-5 stock markets (Q834332) (← links)
- Structural vector autoregressive analysis for cointegrated variables (Q862780) (← links)
- Joint detection of unit roots and cointegration: data-based simulation (Q883241) (← links)
