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Optimal signal extraction with correlated components

McElroy, Tucker; Maravall Herrero, Agustín - In: Journal of time series econometrics 6 (2014) 2, pp. 237-273

Persistent link: https://www.econbiz.de/10010401113

Fractional integration and cointegration

Haulde, Javier; Nielsen, Morten Ørregaard - 2021

Persistent link: https://www.econbiz.de/10012816374

Modelling nonlinearities in cointegration relationships

Schweikert, Karsten - 2017

Persistent link: https://www.econbiz.de/10012795244

Inference pitfalls in Lee-Carter model for forecasting mortality

Leng, Xuan; Peng, Liang - In: Insurance / Mathematics & economics 70 (2016), pp. 58-65

Persistent link: https://www.econbiz.de/10011597167

Inference on the dimension of the nonstationary subspace in functional time series

Nielsen, Morten Ørregaard; Seo, Won-Ki; Seong, Dakyung - 2019

We propose a statistical procedure to determine the dimension of the nonstationary subspace of cointegrated functional … is based on sequential application of a proposed test for the dimension of the nonstationary subspace. To avoid …

Persistent link: https://www.econbiz.de/10012183480