Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes
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Publication:4701042
DOI10.1080/07474939908800444zbMath1063.62576OpenAlexW2073554267MaRDI QIDQ4701042
Publication date: 1999
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474939908800444
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)
Related Items (6)
Generalized reduced rank tests using the singular value decomposition ⋮ Panel cointegration testing in the presence of a time trend ⋮ Structural vector autoregressive analysis for cointegrated variables ⋮ The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study ⋮ A Parametric approach to the Estimation of Cointegration Vectors in Panel Data ⋮ Estimation bias and bias correction in reduced rank autoregressions
Cites Work
- Statistical analysis of cointegration vectors
- Identification of the long-run and the short-run structure. An application to the ISLM model
- Testing cointegration in infinite order vector autoregressive processes
- Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
- MIXED NORMALITY AND ANCILLARITY IN I(2) SYSTEMS
- Optimal Inference in Cointegrated Systems
- Estimation for Partially Nonstationary Multivariate Autoregressive Models
- Multiple Time Series Regression with Integrated Processes
- Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
- Specification Tests in Econometrics
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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