Error-Correction Factor Models for High-dimensional Cointegrated Time Series

DOI10.5705/ss.202017.0250zbMath1454.62273OpenAlexW2954172329MaRDI QIDQ5134485

Yundong Tu, Qiwei Yao, Rong Mao Zhang

Publication date: 16 November 2020

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/106994/1/15th.pdf

zbMATH Keywords

cointegrationnonstationary processesfactor modelsvector time serieseigenanalysis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Self-similar stochastic processes (60G18) Applications of functional analysis in probability theory and statistics (46N30)

Related Items (4)

Forecasting vector autoregressions with mixed roots in the vicinity of unity ⋮ Regularized Estimation in High-Dimensional Vector Auto-Regressive Models Using Spatio-Temporal Information ⋮ Inference in Heavy-Tailed Nonstationary Multivariate Time Series ⋮ Estimation for double-nonlinear cointegration

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