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Robust inference in structural vector autoregressions with long-run restrictions
Chevillon, Guillaume; Mavroeidis, Sophocles; Zhang, Zhaoguo - In: Econometric theory 36 (2020) 1, pp. 86-121
Persistent link: https://www.econbiz.de/10012156818
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A robust Bayesian approach for unit root testing
Conigliani, Caterina; Spezzaferri, Fulvio - In: Econometric theory 23 (2007) 3, pp. 440-463
Persistent link: https://www.econbiz.de/10003541250
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Generalized laplace inference in multiple change-points models
Casini, Alessandro; Perron, Pierre - In: Econometric theory 38 (2022) 1, pp. 35-65
Persistent link: https://www.econbiz.de/10013166116
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A representation theory for a class of vector autoregressive models for fractional processes
Johansen, Søren - In: Econometric theory 24 (2008) 3, pp. 651-676
Persistent link: https://www.econbiz.de/10003894279
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Present value relations, Granger noncausality, and VAR stability
Fanelli, Luca - In: Econometric theory 23 (2007) 6, pp. 1254-1260
Persistent link: https://www.econbiz.de/10003591895
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Haavelmo's probability approach and the cointegrated VAR
Jusélius, Katarina - In: Econometric theory 31 (2015) 2, pp. 213-232
Persistent link: https://www.econbiz.de/10010532069
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Robust optimal tests for causality in multivariate time series
Saidi, Abdessamad; Roy, Roch - In: Econometric theory 24 (2008) 4, pp. 948-987
Persistent link: https://www.econbiz.de/10003736842
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On the robustness of hypothesis testing based on fully modified vector autoregression when some roots are almost one
Kauppi, Heikki - In: Econometric theory 20 (2004) 2, pp. 341-359
Persistent link: https://www.econbiz.de/10001987879
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Infinite-order cointegrated vector autoregressive processes
Saikkonen, Pentti - In: Econometric theory 12 (1996) 5, pp. 814-844
Persistent link: https://www.econbiz.de/10001214299
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Noncausal vector autoregression
Lanne, Markku; Saikkonen, Pentti - In: Econometric theory 29 (2013) 3, pp. 447-481
Persistent link: https://www.econbiz.de/10009778526