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A distance measure between cointegration spaces
Larsson, Rolf; Villani, Mattias - In: Economics letters 70 (2001) 1, pp. 21-27
Persistent link: https://www.econbiz.de/10001534698
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The multivariate split normal distribution and asymmetric principal components analysis
Villani, Mattias; Larsson, Rolf - 2004
The multivariate split nomal distribution extends the usual multivariate normal distribution by a set of parameters which allows for skewness in the form of contraction/dilation along a subset of the prinicpal axis. The paper derives some properties for this distribution, including its moment...
Persistent link: https://www.econbiz.de/10011584774
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A distance measure between cointegration spaces
Larsson, Rolf; Villani, Mattias - In: Economics Letters 70 (2001) 1, pp. 21-27
Persistent link: https://www.econbiz.de/10005361634
Cover Image
A distance measure between cointegration spaces
Larsson, Rolf; Villani, Mattias - In: Economics letters 70 (2001) 1, pp. 21-28
Persistent link: https://www.econbiz.de/10006776286
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The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis
Villani, Mattias; Larsson, Rolf - Sveriges Riksbank - 2004
The multivariate split nomal distribution extends the usual multivariate normal distribution by a set of parameters which allows for skewness in the form of contraction/dilation along a subset of the prinicpal axis. The paper derives some properties for this distribution, including its moment...
Persistent link: https://www.econbiz.de/10005190794
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Approximation of the asymptotic distribution of the log likelihood ratio test for cointegration
Larsson, Rolf - In: Econometric theory 15 (1999) 6, pp. 789-813
Persistent link: https://www.econbiz.de/10001507477
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Distribution approximation of unit root tests in autoregressive models
Larsson, Rolf - In: The econometrics journal 1 (1998) 2, pp. 10-26
Persistent link: https://www.econbiz.de/10001443695
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How close is a fractional process to a random walk with drift?
Larsson, Rolf - In: Journal of time series econometrics 7 (2015) 2, pp. 217-234
Persistent link: https://www.econbiz.de/10011291296
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Bayesian point estimation of the cointegration space
Villani, Mattias - In: Journal of econometrics 134 (2006) 2, pp. 645-664
Persistent link: https://www.econbiz.de/10003374348
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Bayesian reference analysis of cointegration
Villani, Mattias - In: Econometric theory 21 (2005) 2, pp. 326-357
Persistent link: https://www.econbiz.de/10002740680