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The uniform validity of impulse response inference in autoregressions
Inoue, Atsushi; Kilian, Lutz - In: Journal of econometrics 215 (2020) 2, pp. 450-472
Persistent link: https://www.econbiz.de/10012439494
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Impulse response matching estimators for DSGE models
Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - In: Journal of econometrics 196 (2017) 1, pp. 144-155
Persistent link: https://www.econbiz.de/10011743789
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Structural inference in sparse high-dimensional vector autoregressions
Krampe, Jonas; Paparoditis, Efstathios; Trenkler, Carsten - In: Journal of econometrics 234 (2023) 1, pp. 276-300
Persistent link: https://www.econbiz.de/10014364826
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Model averaging based on leave-subject-out cross-validation for vector autoregressions
Liao, Jun; Zong, Xianpeng; Zhang, Xinyu; Zou, Guohua - In: Journal of econometrics 209 (2019) 1, pp. 35-60
Persistent link: https://www.econbiz.de/10012302513
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Forecasting cointegrated nonstationary time series with time-varying variance
Tu, Yundong; Yi, Yanping - In: Journal of econometrics 196 (2017) 1, pp. 83-98
Persistent link: https://www.econbiz.de/10011743781
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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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Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process
Hsiao, Cheng; Wang, Siyan - In: Journal of econometrics 135 (2006) 1/2, pp. 427-463
Persistent link: https://www.econbiz.de/10003376092
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Testing for co-integration in vector autoregressions with non-stationary volatility
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, Robert - In: Journal of econometrics 158 (2010) 1, pp. 7-24
Persistent link: https://www.econbiz.de/10008826880
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Some identification problems in the cointegrated vector autoregressive model
Johansen, Søren - In: Journal of econometrics 158 (2010) 2, pp. 262-273
Persistent link: https://www.econbiz.de/10008839956