Uniform inference for cointegrated vector autoregressive processes
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Cites work
- An alternative proof of Granger’s Representation Theorem forI(1) systems through Jordan matrices
- Conditional Independence Testing in Hilbert Spaces with Applications to Functional Data Analysis
- Confidence intervals for projections of partially identified parameters
- Convergence of stochastic processes
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
- Generic results for establishing the asymptotic size of confidence sets and tests
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Limit theory for VARs with mixed roots near unity
- Limit theory for moderate deviations from a unit root
- Making wald tests work for cointegrated VAR systems
- Nearly optimal tests when a nuisance parameter is present under the null hypothesis
- On Confidence Intervals for Autoregressive Roots and Predictive Regression
- On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots
- One-dimensional inference in autoregressive models with the potential presence of a unit root
- Optimal Inference in Regression Models with Nearly Integrated Regressors
- Predictive regression under various degrees of persistence and robust long-horizon regression
- Rates of convergence in invariance principles for random walks on linear groups via martingale methods
- Regression Theory for Near-Integrated Time Series
- Statistical analysis of cointegration vectors
- Statistical inference in vector autoregressions with possibly integrated processes
- Uniform Inference in Autoregressive Models
- Uniformity and the delta method
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