The selection of zero-non-zero patterned cointegrating vectors in error-correction modelling

DOI10.1080/07474939708800388zbMath0902.62133OpenAlexW2070835551MaRDI QIDQ4355158

R. D. Terrell, Jammie H. Penm, J. H. W. Penm

Publication date: 14 December 1998

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939708800388

zbMATH Keywords

cointegrationsearch algorithmtree pruningvector error correction modellingzero entry

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cites Work

• Multivariate subset autoregressive modelling with zero constraints for detecting 'overall causality'
• Forecasting and testing in co-integrated systems
• Interpreting cointegrating vectors and common stochastic trends
• Posterior Implementability in a Two-Person Decision Problem
• ORDER DETERMINATION OF MULTIVARIATE AUTOREGRESSIVE TIME SERIES WITH UNIT ROOTS
• VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING

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