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Inference in vector autoregressions with integrated time series ; 1
Warne, Anders - 1991
Persistent link: https://www.econbiz.de/10000110473
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Inference in vector autoregressions with integrated time series
Warne, Anders - 1991
Persistent link: https://www.econbiz.de/10000108889
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Times series : cointegration
Johansen, Søren - 2014
Persistent link: https://www.econbiz.de/10010418934
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Times series : cointegration
Johansen, Søren - 2014
Persistent link: https://www.econbiz.de/10010418999
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Granger causality testing in high-dimensional VARs : a post-double-selection procedure
Hecq, Alain W. J.; Margaritella, Luca; Smeekes, Stephan - In: Journal of financial econometrics 21 (2023) 3, pp. 915-958
Persistent link: https://www.econbiz.de/10014314841
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Three essays on model selection in time series econometrics : model averaging, causal graphs, and structural identification
Aka, Niels Mariano - 2021
Persistent link: https://www.econbiz.de/10013175078
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Likelihood inference for a fractionally conitegrated vector autoregressive model
Johansen, Søren; Nielsen, Morten Ørregaard - 2010
Persistent link: https://www.econbiz.de/10003968441
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Likelihood inference for a fractionally cointegrated vector autoregressive model
Johansen, Søren; Nielsen, Morten Ørregaard - 2010
Persistent link: https://www.econbiz.de/10003968607
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Likelihood inference for a fractionally cointegrated vector autoregressive model
Johansen, Søren; Nielsen, Morten Ørregaard - 2010
test for cointegration rank, which is a functional of fractional Brownian motion of type II. -- Cofractional processes … ; cointegration rank ; fractional cointegration ; likelihood inferencw ; vector autoregressive model …
Persistent link: https://www.econbiz.de/10003981839
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Likelihood inference for a fractionally cointegrated vector autoregressive model
Johansen, Søren; Nielsen, Morten Ørregaard - In: Econometrica : journal of the Econometric Society, an … 80 (2012) 6, pp. 2667-2732
Persistent link: https://www.econbiz.de/10009689454