Influential observations in cointegrated VAR models: Danish money demand 1973–2003

DOI10.1111/j.1368-423X.2007.00226.xzbMath1135.91390MaRDI QIDQ3499427

Heino Bohn Nielsen

Publication date: 29 May 2008

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

Mathematics Subject Classification ID

Trade models (91B60)

Related Items (1)

Diagnostic analysis for a vector autoregressive model under Student^′s t‐distributions

Uses Software

• Ox

Cites Work

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• Statistical analysis of cointegration vectors
• Unit root tests for time series with outliers
• Cointegration analysis in the presence of outliers
• Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods
• Detection of Influential Observation in Linear Regression
• Influential Observations in Linear Regression
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Some tests for parameter constancy in cointegrated VAR‐models
• The Identification of Multiple Outliers in ARIMA Models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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