Testing cointegration in infinite order vector autoregressive processes
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Recommendations
- Testing for cointegration in \(I(1)\) state space systems via a finite order approximation
- A modified information criterion for cointegration tests based on a VAR approximation
- Cointegration rank tests based on vector autoregressive approximations under alternative hypotheses
- Testing for the cointegrating rank of a VAR process with a time trend
- A lag augmentation test for the cointegrating rank of a VAR process
- Statistical analysis of cointegration vectors
- A simple cointegrating rank test without vector autoregression
Cites work
- Asymptotic Properties of Residual Based Tests for Cointegration
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Consistent autoregressive spectral estimates
- Efficient Tests for an Autoregressive Unit Root
- Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model
- Linear Statistical Inference and its Applications
- Optimal Inference in Cointegrated Systems
- Prediction of multivariate time series by autoregressive model fitting
- Statistical analysis of cointegration vectors
- Testing for Common Trends
- Testing for unit roots in autoregressive-moving average models of unknown order
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
- VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
Cited in
(33)- Cointegration analysis with state space models
- Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
- Empirically relevant critical values for hypothesis tests: A bootstrap approach
- Tests for non-correlation of two infinite-order cointegrated vector autoregressive series
- Estimating cointegrated systems using subspace algorithms
- Cointegration in functional autoregressive processes
- Asymptotically efficient order selection in nonstationary AR processes
- Recursive adjustment for general deterministic components and improved cointegration rank tests
- On nonparametric and semiparametric testing for multivariate linear time series
- General-to-specific or specific-to-general modelling? An opinion on current econometric terminology
- Intersection tests for the cointegrating rank in dependent panel data
- Semiparametrically optimal cointegration test
- A simple cointegrating rank test without vector autoregression
- Cointegration rank tests based on vector autoregressive approximations under alternative hypotheses
- A test for independence of two stationary infinite order autoregressive processes
- A modified information criterion for cointegration tests based on a VAR approximation
- The performance of panel cointegration methods: results from a large scale simulation study
- Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order
- Analysis of cointegrated VARMA processes
- Impulse response analysis in infinite order cointegrated vector autoregressive processes
- A Review of Nonparametric Time Series Analysis
- AUTOMATIC INFERENCE FOR INFINITE ORDER VECTOR AUTOREGRESSIONS
- The co-integrated vector autoregression with errors-in-variables
- Determining the cointegration rank in heteroskedastic VAR models of unknown order
- A REVIEW OF SYSTEMS COINTEGRATION TESTS
- Testing for cointegration in \(I(1)\) state space systems via a finite order approximation
- Testing for the cointegrating rank of a VAR process with a time trend
- AR(1) MODELS, UNIT ROOTS, AND ADJUSTED PROFILE LIKELIHOOD
- Exact maximum likelihood estimation of partially nonstationary vector ARMA models
- Using subspace algorithm cointegration analysis: simulation performance and application to the term structure
- Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes
- Improved likelihood ratio tests for cointegration rank in the VAR model
- Tests of integration in circular autoregressive models
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