-dimensional models. In time series context, it is mostly restricted to Gaussian autoregressions or mixing sequences. We study oracle … properties of LASSO estimation of weakly sparse vector-autoregressive models with heavy tailed, weakly dependent innovations with … and strong (ff-) mixing sequences as particular examples. From a modeling perspective, it covers several multivariate …

Likelihood ratio tests of over-identifying restrictions on the common trends loading matrices in I(2) VAR systems are … cointegration parameters. Algorithms for (constrained) maximum likelihood estimation are presented, and asymptotic properties …

fractional cointegration types; survival analysis; statistical modelling; likelihood; econometric methodology; the teaching and …

of equations vector auto regression (VAR) approach that maintains the information relating to the feedback between …

) and studies the properties of the Lasso and adaptive Lasso as estimators of this model. The parameters of the model are … finite sample properties of the Lasso by deriving upper bounds on the estimation and prediction errors that are valid with … of non zero increments grows slower than √T . By simulation experiments we investigate the properties of the Lasso and …

We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of … cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short … Engle and Kozicki (1993) arise when a linear combination of the first differenced variables in a cointegrated VAR is white …

linear possibly cointegrated two-country VAR models can be separated into two autonomous subsystems: the country averages and … country differences, where the latter includes the exchange rate. The symmetric two-country cointegrated VAR model is … for symmetry and separability are easily testable and applied to nine-dimensional quarterly cointegrated VAR models for …

The relation between causal structure and cointegration and long-run weak exogeneity is explored using some ideas drawn …