Testing for Common Trends
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(only showing first 100 items - show all)- Credit market frictions and their direct effects on U.S. Manufacturing fluctuations
- Signal extraction for non-stationary multivariate time series with illustrations for trend inflation
- Statistical analysis of cointegration vectors
- BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION
- Data-Driven Tests for Trend
- Testing for the cointegration rank when some cointegrating directions are changing
- Testing for common deterministic trend slopes
- Cointegration in fractional systems with deterministic trends
- Cointegration in large VARs
- RECOGNIZING OVERDIFFERENCED TIME SERIES
- Using subspace algorithm cointegration analysis: simulation performance and application to the term structure
- On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century and beyond
- Moving dynamic principal component analysis for non-stationary multivariate time series
- Calculation of aggregate demand and supply disturbances from a common trends model
- Estimation of partially nonstationary vector autoregressive models with seasonal behavior
- Forecasting time series with common seasonal patterns (with discussion)
- Maximum likelihood inference on cointegration and seasonal cointegration
- VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
- Econometric tests of rationality and market efficiency
- The role of the drift in I(2) systems
- The effect of linear time trends on the KPSS test for cointegration
- Size and power of some cointegration tests under structural breaks and heteroskedastfc noise
- Analysis of cointegrated VARMA processes
- \(I(0)\) in, integration and cointegration out: Time series properties of endogenous growth models
- Common nonstationary components of asset prices
- Error correction models, cointegration and the internal model principle
- Direct estimation of the risk neutral factor dynamics of Gaussian term structure models
- Representations of \(I(2)\) cointegrated systems using the Smith-McMillan form
- A Review of Nonparametric Time Series Analysis
- Bootstrap LR tests of stationarity, common trends and cointegration
- Identification and overidentification in SVECMs
- An Algebraic Estimator for Large Spectral Density Matrices
- Granger causality and the sampling of economic processes
- Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence
- The estimation uncertainty of permanent-transitory decompositions in co-integrated systems
- Panel cointegration testing in the presence of a time trend
- The univariate MT-STAR model and a new linearity and unit root test procedure
- Decomposition of hours based on extensive and intensive margins of labor
- Statistical inference in regression with heavy-tailed integrated variables
- ON THE PROPERTIES OF SOME TESTS FOR COMMON STOCHASTIC TRENDS
- Wavelet variance ratio cointegration test and wavestrapping
- Phase-shifting common cycles and common trends
- Asymptotic theory for linear diffusions under alternative sampling schemes
- Forecasting with nonstationary dynamic factor models
- Testing for \(r\) versus \(r-1\) cointegrating vectors
- A robust procedure to build dynamic factor models with cluster structure
- Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending
- Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends
- Which vintage of data to use when there are multiple vintages of data?: Cointegration, weak exogeneity and common factors
- ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS
- A unifying theory of tests of rank
- The impact of structural breaks on the integration of the ASEAN-5 stock markets
- Statistical inference in vector autoregressions with possibly integrated processes
- Nonparametric cointegration analysis
- Clive W. J. Granger and cointegration
- Tests for cointegration. A Monte Carlo comparison
- Stability tests in error correction models
- On the specification and estimation of large scale simultaneous structural macroeconometric models
- Financial stability in European banking: The role of common factors
- Estimating fractional cointegration in the presence of polynomial trends
- Markov-switching and the Beveridge-Nelson decomposition: has US output persistence changed since 1984?
- Is a small Monte Carlo analysis a good analysis? Checking the size, power and consistency of a simulation-based test
- Cointegration analysis with state space models
- scientific article; zbMATH DE number 1208131 (Why is no real title available?)
- On exchange rates and efficiency
- Some recent developments in Markov chain Monte Carlo for cointegrated time series
- Intertemporal consumer behaviour under structural changes in income
- A CROSS-SECTIONAL METHOD FOR RIGHT-TAILED PANIC TESTS UNDER A MODERATELY LOCAL TO UNITY FRAMEWORK
- Cointegration Detection Using Dynamic Factor Models
- Estimating cointegrated systems using subspace algorithms
- Direct cointegration testing in error correction models
- Extracting a common stochastic trend: theory with some applications
- Nonstationary dynamic factor analysis
- Traders' networks of interactions and structural properties of financial markets: an agent-based approach
- An asymptotic invariance property of the common trends under linear transformations of the data
- Semiparametrically optimal cointegration test
- A critique of the application of unit root tests
- Determination of cointegrating rank in fractional systems.
- Instrumental variables estimation of stationary and non‐stationary cointegrating regressions
- A CUSUM test for cointegration using regression residuals
- Analysis of cointegration vectors using the GMM approach
- Low-pass filtered least squares estimators of cointegrating vectors
- System estimators of cointegrating matrix in absence of normalising information
- An algebraic interpretation of cointegration
- Business cycle and corporate failure in France: Is there a link?
- On the determination of integration indices in I(2) systems
- Cointegration, long-run structural modelling and weak exogeneity: two models of the UK economy
- Cointegration in a historical perspective
- A REVIEW OF SYSTEMS COINTEGRATION TESTS
- Durbin-Hausman tests for cointegration
- INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES
- THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION
- Testing for Common Trends in Nonstationary Large Datasets
- Business cycle analysis without much theory: A look at structural VARs
- Testing cointegration in infinite order vector autoregressive processes
- Continuous time autoregressive models with common stochastic trends
- Modeling longevity risk with generalized dynamic factor models and vine-copulae
- Testing for cointegration using principal components methods
- Estimation of \(\alpha, \beta\) and portfolio weights in a pure-jump model with long memory in volatility
- Cause-specific mortality rates: common trends and differences
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