Trace test for high-dimensional cointegration

DOI10.1214/25-AOS2579MaRDI QIDQ7226994zbMATH OpenFDO

Authors Alexei Onatski, Chen Wang

Publication date 8 April 2026

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/journals/annals-of-statistics/volume-54/issue-2/Trace-test-for-high-dimensional-cointegration/10.1214/25-AOS2579.full

zbMATH Keywords

central limit theoremcointegration testhigh-dimensional VARJohansen's trace statisticlinear spectral statistics

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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