Pages that link to "Item:Q4720635"

The following pages link to Co-Integration and Error Correction: Representation, Estimation, and Testing (Q4720635):

Displaying 50 items.

• Mean-variance portfolio selection of cointegrated assets (Q550847) (← links)
• An analogue model of phase-averaging procedures (Q583817) (← links)
• Estimating integrated higher-order continuous time autoregressions with an application to money-income causality (Q583827) (← links)
• Multivariate linear and nonlinear causality tests (Q609070) (← links)
• Spurious regression (Q609686) (← links)
• Inversion of regular analytic matrix functions: Local Smith form and subspace duality (Q636250) (← links)
• The implied liquidity premium for equities (Q665709) (← links)
• Aggregation over time, error correction models and Granger causality: (Q671688) (← links)
• Testing for cointegration: Power versus frequency of observation--another view (Q672559) (← links)
• A note on the critical values for the maximum likelihood (seasonal) cointegration tests (Q672562) (← links)
• The dynamic effects of aggregate demand and supply disturbances: Another Look (Q672613) (← links)
• Misinterpreting the dynamic effects of aggregate demand and supply disturbances (Q672617) (← links)
• Unit roots and cointegration in estimating causality between exports and economic growth: (Q672650) (← links)
• Spurious regressions when stationary regressors are included (Q672763) (← links)
• Cointegration and the long-run forecast of exchange rates (Q672918) (← links)
• The balance between size and power in Dickey-Fuller tests with data-dependent rules for the choice of truncation lag (Q673193) (← links)
• The length of the effect of aggregate advertising on aggregate consumption (Q673577) (← links)
• Linear aggregation in cointegrated systems (Q673689) (← links)
• New small sample estimators for cointegration regression: low-pass spectral filter method (Q674067) (← links)
• Persistence, cointegration, and aggregation. A disaggregated analysis of output fluctuations in the U.S. economy (Q685913) (← links)
• Identification and overidentification in SVECMs (Q709088) (← links)
• The effects of cross-section dimension \(n\) in panel co-integration test (Q718202) (← links)
• Semiparametric inference in multivariate fractionally cointegrated systems (Q736545) (← links)
• Forecasting with equilibrium-correction models during structural breaks (Q736553) (← links)
• Likelihood based testing for no fractional cointegration (Q736557) (← links)
• Modelling and measuring price discovery in commodity markets (Q736559) (← links)
• Averaging estimators for autoregressions with a near unit root (Q736566) (← links)
• Cointegration in a historical perspective (Q736567) (← links)
• A characterization of vector autoregressive processes with common cyclical features (Q737947) (← links)
• Residual based tests for cointegration in dependent panels (Q738179) (← links)
• A local factor nonparametric test for trend synchronism in multiple time series (Q739586) (← links)
• Limiting power of unit-root tests in time-series regression (Q756339) (← links)
• A critique of the application of unit root tests (Q756342) (← links)
• An empirical investigation among real, monetary and financial variables (Q806922) (← links)
• Joint modeling of cointegration and conditional heteroscedasticity with applications (Q816593) (← links)
• A robust-filtering method for noisy non-stationary multivariate time series with econometric applications (Q825334) (← links)
• Mapping swap rate projections on bond yields considering cointegration: an example for the use of neural networks in stress testing exercises (Q829159) (← links)
• Generalized principal component analysis for moderately non-stationary vector time series (Q830695) (← links)
• Book review of: U. Hassler, Stochastische Integration und Zeitreihenmodellierung (Q840990) (← links)
• Robust estimation in a nonlinear cointegration model (Q847424) (← links)
• On the specification and estimation of large scale simultaneous structural macroeconometric models (Q862776) (← links)
• Unit root testing (Q862778) (← links)
• Autoregressive distributed lag models and cointegration (Q862779) (← links)
• Structural vector autoregressive analysis for cointegrated variables (Q862780) (← links)
• Econometric analysis of high frequency data (Q862781) (← links)
• A threshold cointegration test with increased power (Q870443) (← links)
• Using causal discovery for feature selection in multivariate numerical time series (Q890305) (← links)
• Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank (Q894635) (← links)
• Analytical evaluation of the power of tests for the absence of cointegration (Q899515) (← links)
• On the specification of Granger-causality tests using the cointegration methodology (Q900027) (← links)