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Bootstrap testing of hypotheses on co-integration relations in vector autoregressive models
Cavaliere, Giuseppe; Bohn Nielsen, Heino; Rahbek, Anders - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 2, pp. 813-831
Persistent link: https://www.econbiz.de/10011350499
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Likelihood inference for a fractionally cointegrated vector autoregressive model
Johansen, Søren; Nielsen, Morten Ørregaard - In: Econometrica : journal of the Econometric Society, an … 80 (2012) 6, pp. 2667-2732
Persistent link: https://www.econbiz.de/10009689454
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Bootstrap determination of the co-integration rank in vector autoregressive models
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, Robert - In: Econometrica : journal of the Econometric Society, an … 80 (2012) 4, pp. 1721-1740
Persistent link: https://www.econbiz.de/10009629515
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A small sample correction for the test of cointegrating rank in the vector autoregressive model
Johansen, Søren - In: Econometrica : journal of the Econometric Society, an … 70 (2002) 5, pp. 1929-1961
Persistent link: https://www.econbiz.de/10001702250
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Testing for the cointegrating rank of a var process with level shift at unknown time
Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - In: Econometrica : journal of the Econometric Society, an … 72 (2004) 2, pp. 647-662
Persistent link: https://www.econbiz.de/10001978069
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Identification using stability restrictions
Magnusson, Leandro M.; Mavroeidis, Sophocles - In: Econometrica : journal of the Econometric Society, an … 82 (2014) 5, pp. 1799-1851
Persistent link: https://www.econbiz.de/10011556917
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Error bands for impulse responses
Sims, Christopher A.; Zha, Tao - In: Econometrica : journal of the Econometric Society, an … 67 (1999) 5, pp. 1113-1155
Persistent link: https://www.econbiz.de/10001405860
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Impossibility results for nondifferentiable functionals
Hirano, Keisuke; Porter, Jack - In: Econometrica : journal of the Econometric Society, an … 80 (2012) 4, pp. 1769-1790
Persistent link: https://www.econbiz.de/10009629513
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Optimal inference in cointegrated systems
Phillips, Peter C. B. - In: Econometrica : journal of the Econometric Society, an … 59 (1991) 2, pp. 283-306
Persistent link: https://www.econbiz.de/10001101896
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A simple estimator of cointegrating vectors in higher order integrated systems
Stock, James H. - In: Econometrica : journal of the Econometric Society, an … 61 (1993) 4, pp. 783-820
Persistent link: https://www.econbiz.de/10001147143