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The limit distribution of the estimates in cointegrated regression models with multiple structural changes
Kejriwal, Mohitosh; Perron, Pierre - In: Journal of econometrics 146 (2008) 1, pp. 59-73
Persistent link: https://www.econbiz.de/10003778212
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Statistical analysis of hypothesis on the cointegrating relations in the I(2) model
Johansen, Søren - In: Journal of econometrics 132 (2006) 1, pp. 81-115
Persistent link: https://www.econbiz.de/10003320246
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Common cyclical features analysis in VAR models with cointegration
Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - In: Journal of econometrics 132 (2006) 1, pp. 117-141
Persistent link: https://www.econbiz.de/10003320251
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Common trends and cycles in I(2) VAR systems
Paruolo, Paolo - In: Journal of econometrics 132 (2006) 1, pp. 143-168
Persistent link: https://www.econbiz.de/10003320254
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The effect of data transformation on common cycle, cointegration and unit root tests : Monte Carlo results and a simple test
Corradi, Valentina; Swanson, Norman R. - In: Journal of econometrics 132 (2006) 1, pp. 195-229
Persistent link: https://www.econbiz.de/10003320260
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Generalized reduced rank tests using the singular value decomposition
Kleibergen, Frank; Paap, Richard - In: Journal of econometrics 133 (2006) 1, pp. 97-126
Persistent link: https://www.econbiz.de/10003354557
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Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
Christensen, Bent Jesper; Nielsen, Morten Ørregaard - In: Journal of econometrics 133 (2006) 1, pp. 343-371
Persistent link: https://www.econbiz.de/10003354581
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Bootstrapping cointegrating regressions
Chang, Yoosoon; Park, Joon Y.; Song, Kyungchul - In: Journal of econometrics 133 (2006) 2, pp. 703-739
Persistent link: https://www.econbiz.de/10003359625
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Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
Davidson, James E. H. - In: Journal of econometrics 133 (2006) 2, pp. 741-777
Persistent link: https://www.econbiz.de/10003359632
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Consistent noisy independent component analysis
Bonhomme, Stéphane; Robin, Jean-Marc - In: Journal of econometrics 149 (2009) 1, pp. 12-25
Persistent link: https://www.econbiz.de/10003833711