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Long-run identification in a fractionally integrated system
Tschernig, Rolf; Weber, Enzo; Weigand, Roland - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 4, pp. 438-450
Persistent link: https://www.econbiz.de/10010337858
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Real-time prediction with UK monetary aggregates in the presence of model uncertainty
Garratt, Anthony; Koop, Gary; Mise, Emi; Vahey, Shaun P. - In: Journal of business & economic statistics : JBES ; a … 27 (2009) 4, pp. 480-491
Persistent link: https://www.econbiz.de/10003913414
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Structural vector autoregressions with nonnormal residuals
Lanne, Markku; Lütkepohl, Helmut - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 1, pp. 159-168
Persistent link: https://www.econbiz.de/10003992825
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Residual-based tests for normality in autoregressions : asymptotic theory and simulation evidence
Kilian, Lutz; Demiroğlu, Ufuk - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 1, pp. 40-50
Persistent link: https://www.econbiz.de/10001441595
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Testing for the cointegrating rank of a VAR process with structural shifts
Saikkonen, Pentti; Lütkepohl, Helmut - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 4, pp. 451-464
Persistent link: https://www.econbiz.de/10001521533
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Testing for a valid normalization of cointegrating vectors in vector autoregressive processes
Luukkonen, Ritva; Ripatti, Antti; Saikkonen, Penti - In: Journal of business & economic statistics : JBES ; a … 17 (1999) 2, pp. 195-204
Persistent link: https://www.econbiz.de/10001410679
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A new class of bivariate threshold cointegration models
Cai, Biqing; Gao, Jiti; Tjostheim, Dag - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 2, pp. 288-305
Persistent link: https://www.econbiz.de/10011704196
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On the identification of fractionally cointegrated VAR models with the F(d) condition
Carlini, Federico; Santucci de Magistris, Paolo - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 1, pp. 134-146
Persistent link: https://www.econbiz.de/10012176555
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A Bayesian Markov-switching correlation model for contagion analysis on exchange rate markets
Casarin, Roberto; Sartore, Domenico; Tronzano, Marco - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 101-114
Persistent link: https://www.econbiz.de/10011894407
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Inference in nearly nonstationary SVAR models with long-run identifying restrictions
Gospodinov, Nikolaj - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10003992783