Cointegration in large VARs

DOI10.1214/21-AOS2164MaRDI QIDQ2148991

Vadim Gorin, Anna Bykhovskaya

Publication date: 24 June 2022

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.14179

zbMATH Keywords

cointegrationhigh-dimensional VARJacobi ensembleJohansen testvector autoregressive process (VAR)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40) Economic time series analysis (91B84)

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