A distance measure between cointegration spaces

DOI10.1016/S0165-1765(00)00349-9zbMath0954.62105OpenAlexW2135553014WikidataQ127872638 ScholiaQ127872638MaRDI QIDQ1589598

R. Smith

Publication date: 12 December 2000

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(00)00349-9

zbMATH Keywords

distance measurecointegrationsimulation studies

Mathematics Subject Classification ID

Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (7)

Cointegration analysis in the presence of outliers ⋮ VEC-MSF models in Bayesian analysis of short- and long-run relationships ⋮ Some recent developments in Markov Chain Monte Carlo for cointegrated time series ⋮ Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space ⋮ Bayesian analysis of static and dynamic factor models: an ex-post approach towards the rotation problem ⋮ Bayesian inference in a time varying cointegration model ⋮ Identifiability in penalized function-on-function regression models

Cites Work

• Five alternative methods of estimating long-run equilibrium relationships
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
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