Determination of cointegrating rank in partially non‐stationary processes via a generalised von‐Neumann criterion

DOI10.1111/J.1368-423X.2004.00127.XzbMath1063.62123OpenAlexW2011867369MaRDI QIDQ3156192

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Publication date: 6 January 2005

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2004.00127.x

zbMATH Keywords

spectral singularitymultitaper spectral estimatorpartially non-stationary time seriesrank defficiency

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20) Inference from stochastic processes and spectral analysis (62M15)

Related Items (3)

Identifying Cointegration by Eigenanalysis ⋮ Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion ⋮ ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT

Cites Work

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• Unit root log periodogram regression
• Nonparametric cointegration analysis
• Nonparametric tests for unit roots and cointegration.
• Tests for cointegration. A Monte Carlo comparison
• Prolate Spheroidal Wave Functions, Fourier Analysis, and Uncertainty-V: The Discrete Case
• Non-linear time series regression
• A simple cointegrating rank test without vector autoregression

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