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Fractional cointegration rank estimation
Łasak, Katarzyna; Velasco, Carlos - 2014
We consider cointegration rank estimation for a p-dimensional Fractional Vector Error Correction Model. We propose a …-r, and on the interval of the orders of fractional cointegration b allowed in the estimation, but not on the order of …
Persistent link: https://www.econbiz.de/10010244531
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Analysis of Panel Vector Error Correction Models Using Maximum Likelihood, the Bootstrap, and Canonical-Correlation Estimators
Anderson, Richard G. - 2006
In this paper, we examine the use of Box-Tiao's (1977) canonical correlation method as an alternative to likelihood-based inferences for vector error-correction models. It is now well-known that testing of cointegration ranks based on Johansen's (1995) ML-based method suffers from severe small...
Persistent link: https://www.econbiz.de/10012732978
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Fractional cointegration rank estimation
Łasak, Katarzyna; Velasco, Carlos - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 2, pp. 241-254
Persistent link: https://www.econbiz.de/10011390032
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Analysis of panel vector error correction models using maximum likelihood, the bootstrap, and canonical-correlation estimators
Anderson, Richard G. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003740180
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Estimation of dynamic panel spatial vector autoregression : stability and spatial multivariate cointegration
Yang, Kai; Lee, Lung-fei - In: Journal of econometrics 221 (2021) 2, pp. 337-367
Persistent link: https://www.econbiz.de/10012618869
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Cointegration analysis with mixed-frequency data
Seong, Byeongchan (contributor); Ahn, Sung K. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003496561
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The effects of ignoring level shifts on systems cointegration tests
Trenkler, Carsten - In: Allgemeines statistisches Archiv : AStA ; journal of … 89 (2005) 3, pp. 281-301
Persistent link: https://www.econbiz.de/10003050661
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The effects of ignoring level shifts on systems cointegration tests
Trenkler, Carsten - 2002
Persistent link: https://www.econbiz.de/10001730272
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Cointegrating sectoral wages in Sweden : a maximum likelihood approach
Jacobson, Tor; Ohlsson, Henry - 1991
Persistent link: https://www.econbiz.de/10000129080
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Agricultural policy reforms and spatial integration of food grain markets in India
Ghosh, Madhusudan - In: Journal of economic development 36 (2011) 2, pp. 15-37
Persistent link: https://www.econbiz.de/10009234548