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Likelihood ratio tests of restrictions on common trends loading matrices in I(2) VAR Systems
Boswijk, Herman Peter; Paruolo, Paolo - In: Econometrics : open access journal 5 (2017) 3, pp. 1-17
cointegration parameters. Algorithms for (constrained) maximum likelihood estimation are presented, and asymptotic properties …
Persistent link: https://www.econbiz.de/10011710948
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Symmetry and separability in two-country cointegrated VAR models : representation and testing
Krolzig, Hans-Martin; Heinlein, Reinhold - 2013
five different country pairs in the post-Bretton-Woods era. We find evidence for the symmetry of the cointegration space …, which is of practical importance as it allows for the identification of the cointegration vectors in much smaller systems …
Persistent link: https://www.econbiz.de/10010228330
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An asymptotic invariance property of the common trends under linear transformations of the data
Johansen, Søren; Jusélius, Katarina - In: Journal of econometrics 178 (2014) 1, pp. 310-315
Persistent link: https://www.econbiz.de/10010256144
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Forecasting aggregates and disaggregates with common features
Espasa Terrades, Antoni; Mayo-Burgos, Iván - In: International journal of forecasting 29 (2013) 4, pp. 718-732
Persistent link: https://www.econbiz.de/10010221293
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A general inversion theorem for cointegration
Franchi, Massimo; Paruolo, Paolo - In: Econometric reviews 38 (2019) 10, pp. 1176-1201
Persistent link: https://www.econbiz.de/10012181400
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A portmanteau test for correlation in short panels
Jochmans, Koen - 2018
Persistent link: https://www.econbiz.de/10012672305
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A multicollinearity and measurement error statistical blind spot : correcting for excessive false positives in regression and PLS
Goodhue, Dale L.; Lewis, William; Thompson, Ron - In: Management information systems : mis quarterly 41 (2017) 3, pp. 667-684
Persistent link: https://www.econbiz.de/10011740838
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Using post-double selection lasso in field experiments
Cilliers, Jacobus; Elashmawy, Nour; McKenzie, David J. - 2024
Persistent link: https://www.econbiz.de/10015075695
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A dynamic factor model for the Mexican economy : are common trends useful when predicting economic activity?
Corona, Francisco; González-Farías, Graciela; Orraca, … - In: Latin American economic review : LAER ; official … 26 (2017), pp. 1-35
two steps ahead. We exploit the cointegration properties of the macroeconomic time series, such that, when the series are …
Persistent link: https://www.econbiz.de/10011885720
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Alternative diff-in-diffs estimators with several pretreatment periods
Mora Villarrubia, Ricardo; Reggio, Iliana - In: Econometric reviews 38 (2019) 5, pp. 465-486
Persistent link: https://www.econbiz.de/10012181322